I tried again last night and actually found a solution - or a reason at least. I'm using a Sony bluetooth headset that installs 2 output devices on a computer, the headset one (which is connected to the mic) and "stereo" one. When I start Fears to Fathom a Windows tray icon tells me that the game uses the mic (for some reason?), which means it also outputs any sound through the headset device. Meaning, if you still have the "stereo" one set as your main output device, you're not getting any sound. I changed my main outpout device to the headset one and then it worked fine. Maybe it's similar in your case?
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Oh! Yes! I did it in another game having same problem! But forgot about. Thank you for freshing my memory. Now I think, that's was a solution. I used bluetooth headset too. Windows uses first device for mobile (or another conversation) connection, and second device for sound as a default. Another comp has only speakers.
But what for the game uses a mic? Maybe this is a developer's issue.