First thing you need to check is if the Windows Audio service is running on your VPS.
If the audio device is missing you will need to enable it for RDP:
Enabling Sound/Audio over Remote Desktop Windows is not the tough process. Know all the steps today!
If you didn’t hear the windows startup sound:
You may hear the windows startup sound at this point, even still, proceed to the next section.
Making sure Audio is configured correctly for all applications: