that suggests that it tries to run on a sound card not connected to speakers. these games have a great deal of soundcard incompatibility. the first game never worked on certain sound cards. they likely fixed it here by making it run on whatever sound card it is compatible with. you can likely get sound if you connect the speakers to your monitor.

Lego HP 1-4 works great with sound set to 24-bit 48k sound (to solve a bug issue in fact) you could change your settings to that on your soundcard and see if that works to solve the issue.

The only way I get sound in the Lego Harry Potter games is if I use a headset. If I play it without - using my computer speakers (which are on my monitor) I get nothing. Try putting on headphones or something and see if that helps