In order to play the audio from a Remote Computer on your local computer, your local Remote Desktop Connection client must be set up to forward the audio.

Windows.
Regardless of the Remote Computer being connected to: Click the "Show Options" button.


Click the "Local Resources" tab.

Click the "Settings..." button under Remote audio heading.

In the new window that appears click the "Play on this Computer" radio button. Click "OK". 

Click the "General" Tab.

Click the "Save As..." to save a file that save the audio setting for the connection to which ever computer you have specified in "Computer:" In the example image, This connection file will connect to as-ts-hipaa.ad.syr.edu.