I've seen this in the past with games and something to do with OpenAL.
Windows WAV would work and other things but then as soon as something with 3D Sound or something you lose it.
Could try installing this not sure if it will help but I do remember years ago there was a .dll or something if in the game folder allowed things like this to work.
Try the install and see if it helps. Just grasping at straws but it's been so many years since having the .dll fix was needed and forget what it actually was.
http://connect.creativelabs.com/developer/Wiki/OpenAL Installer for Windows.aspx
You can also try tweaking these settings first before installing anything see if any help.
ROENGINE.ini
[XAudio2.XAudio2Device]
MaxChannels=32
CommonAudioPoolSize=0
MinCompressedDurationGame=5.000000
MinCompressedDurationEditor=4.000000
LowPassFilterResonance=0.900000
ChirpInSoundNodeWaveName=
ChirpOutSoundNodeWaveName=
[ALAudio.ALAudioDevice]
MaxChannels=32
CommonAudioPoolSize=0
MinCompressedDurationGame=5
MinCompressedDurationEditor=4
LowPassFilterResonance=0.9
//DeviceName=Generic Software
So have you tried other Unreal Engine games? Have you tested WAV with the stupid Windows Ding sound etc. in Windows. You can play Music (mp3 and WAV)?
As you go through different things it will probably be EAX or something with the 3D audio aspect.
Good luck.