Yes, there should be audio. This is the first I've heard of this problem though and can't think of any reason why there wouldn't be audio. I'll look into it.
sadly i'm not getting any audio.
I checked in the options and there were no audio options.
I'm running this through my vive with the deluxe audio strap which uses USB audio.
I'm not sure what I can change on my end since every other VR title I own works fine.