That doesn't sound right, but I'm not sure what's wrong. The normal game client should be used to play the demo files, and if the sound is set up correctly in it, it should make sounds. The demofile itself doesn't include sound commands, I don't think, it's just built in to whatever animations are played.
Maybe someone else can give better answers. And you may not be able to get the normal in game music. Sound effects, though, I'm pretty sure I can hear just fine. (Although maybe something's changed recently?)
The only thing I can suggest is opening the downloaded and clicking Verify Files. Then see if your demo shortcut has any odd switches set that might be turning off the sounds.
Can't help personally but fyi Dark_Respite and Leandro are the resident video-making gurus. Try PMing one of them if you're really stuck.
It's a known issue. Sound has been gone since I think I-18/GR (or some time around that). I don't know why - I have done experimenting every way I know how (using Zloth's Demo Launcher, using drag-and-drop-launch, using DOS commands), but with no success. Doesn't really bother me since I'm not usually using the in-game sound.
It's been submitted as a /bug, but I suggest doing it again, just in case. I know it's LOW on their priority list, but do it anyway.
Michelle
aka
Samuraiko/Dark_Respite
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MA Arcs - 3430: Hell Hath No Fury / 3515: Positron Gets Some / 6600: Dyne of the Times / 351572: For All the Wrong Reasons
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THE COURSE OF SUPERHERO ROMANCE CONTINUES!
Book I: A Tale of Nerd Flirting! ~*~ Book II: Courtship and Crime Fighting - Chap Nine live!
MA Arcs - 3430: Hell Hath No Fury / 3515: Positron Gets Some / 6600: Dyne of the Times / 351572: For All the Wrong Reasons
378944: Too Clever by Half / 459581: Kill or Cure / 551680: Clerical Errors (NEW!)
Okay, so it's not my end. That's good to know.
And of course, I do understand that it might be low on their fixit priority list. Gotta make sure people can play.
Thanks for the responses. 
Home server: Guardian
My 50s: 3 scrappers, 2 tankers, 1 blaster, 1 defender, 1 controller, 1 warshade, 1 stalker, 1 brute, 1 corruptor, 1 widow, 1 dominator, 1 mastermind (on Liberty)
Current project
I'm learning about the /demorecord and my demo files do not have any sound. Is this normal, or am I doing something wrong?
Home server: Guardian
My 50s: 3 scrappers, 2 tankers, 1 blaster, 1 defender, 1 controller, 1 warshade, 1 stalker, 1 brute, 1 corruptor, 1 widow, 1 dominator, 1 mastermind (on Liberty)
Current project