That is weird. Do you have another set of speakers you can try? If I remember correctly, Windows will show a red x on the taskbar speaker icon if there are no speakers detected. Worth checking to see if mute is on also.
It's so weird! I'm testing using Debian, Window 10, and ThinLinux .. As of now:
Unit 1: BIOS 1.0K - Sounds only comes through DP/HDMI in all systems as if the other output is completely absent!
Unit 2: BIOS 1.0K - Both outputs present in all three systems but headphones/speaker doesn't work and produce weird static noises so I have to manually change output to DP/HDMI or mute it!
It's extremely minor issue and doesn't interfere with the purpose intended (Linux Server) but I'm a bit annoyed by such random malfunctions !!