By default OBS does not play media audio out to the speakers, to avoid looping or duplicating the audio through the desktop channel (as many people have their monitoring device set to their desktop audio device).
You can fix this by ensuring that your monitoring device is set to the desktop device, then in Advanced Audio Settings (click the cog in the mixer to get to this) set the video to Monitor Only. This may incur an audio de-sync, as the monitor tends to be slightly delayed.