That's the way I seem to remember demorecordings always being--no sound. I played a few back today, and that was my experience. But for a quick and dirty in-game recording resource with reasonably small output files, it can't be beat.
If you don't have it, you should look around for the demo launcher that Zloth created many moons ago. Good stuff.
I found a post back in 2010 that talked about the fact that there was no sound in the playback of a demorecorded file. That's what I'm experiencing, regardless of the way I start the playback. I'm hoping that there has been a workaround/solution in the meantime. I can live without sounds...but that is part of what I love about the game.
Any fixes? If not, I'll have to do a fraps capture of at least some fights to get the sound. I hoped to do a lot of demorecording now...and turn them into videos during my work's winter shutdown.