Even if you don't know who it is, knowing that someone is around the other side of the wall is a huge advantage in an FPS game. Also players tend to have their teammates displayed on a map, so the cheat program could take this into account and mark as friend or foe.

Pushing this info to the client early also allows the program to make sure all the required assets are loaded into memory before it has to be rendered.

You could stream sound from the server, but latency might be an issue.