Hi,
When you connect to the Windows machine, NoMachine will take default output device and read audio stream from this device to transmit it to the other side. If you want to change it, you have to close the session, switch to another sound device and then connect again via NoMachine. Based on this information, can you set speakers as the default output device and then connect to the server?
You can also check if the “exclusive mode” is not enabled for this device:
1. Open Control Panel -> Hardware and Sound -> Sound and select the Playback tab.
2. Select correct device from the list and click Properties.
3. Go to Advanced tab and ensure that options in “Exclusive Mode” are disabled.