So my user is at home. Using VMware Horizon Client from home (Win 10) to get in our VDI farm. Then from the VDI session (Win 10), she uses Windows Remote Desktop Connection to remote to her computer at work (Win 10). She needs to be able to hear the audio that's playing on her work computer thru VDI on her computer at home. I can make VDI session sound to be heard on the home computer, but not the work computer to VDI and VDI to home.
Have you considered installing the Horizon agent directly onto the physical PC and brokering the connection directly to that rather than using VDI as a proxy/bastion host to reach the desktop? This would make for a much better experience.