Hi Crystal, please click on Windows and R together to open the Run box.
Enter RDP and press Enter to open a window for the Remote Desktop Connection
Tap on More options
Tap on Local Resources tab, under Remote audio, then press Settings
You will see a small window, under Remote audio playback, click on Play on remote computer and press - ok
If the issue still persists, post your query in IT Pro TechNet forums to get support from professionals who have expertise in issues with RDP