Make sure to set the default audio device before starting the game. Besides that, no idea why it doesn't work. We didn't do anything fancy with the audio.

this is the answer that worked for me, but why?

I use headphones for multi player then speakers for single player. I will forget to switch until I am in games, so I do it when there is no sound. but, this is the first game that you have to quit out then back in to get the sound...