I can't believe it but this actually fixed the problem.
How did you find out about that specific key?
Here is a PowerShell script to first backup everything under WinStations and then copy the value from DefaultSecurity to ConsoleSecurity.
I did not include a check if the current value of ConsoleSecurity is empty / shows as Zero-Length Binary Value so it is probably a good idea to verify this first.
Copy everything, save it as fixAudio.ps1 and call it as admin with PowerShell.exe -ExecutionPolicy Bypass -File .\fixAudio.ps1
(-ExecutionPolicy Bypass is just needed so you can execute local scripts no matter what policy currently is configured on your system, more info at MS docs)
Use at your own risk ;)
Audio should work after reboot.
REG EXPORT "HKLM\SYSTEM\CurrentControlSet\Control\Terminal Server\WinStations" WinStations_backup.reg
$WinStationsPath="HKLM:\SYSTEM\CurrentControlSet\Control\Terminal Server\WinStations"
$value = Get-ItemProperty -Path $WinStationsPath -Name DefaultSecurity
Set-ItemProperty -Path $WinStationsPath -Name ConsoleSecurity -Value $value.DefaultSecurity
Alternatively, you can of course use regedit to do this manually!