Hi,
I suggest to check Local Computer Policy on your Windows Server.
To do that start MMC console, Add/Remove Snap-in... and choose Local Computer Policy.
In Local Computer Policy go to Computer Configuration -> Administrative Templates -> Windos Components -> Remore Desktop Services -> Remote Desktop Session Host -> Device and Resource Redirection.
There you have a policy named "Allow audio and video playback redirection" and "Allow audio recording redirection"
Make sure both options are Enabled, as shown below:

If above doesn't help, I suggest to check audrio drivers on your Windows Server VM.
Hope that helps!