I was also having this issue and found that the application for .wav had been changed to "Media Player".
(Note in the screenshot below that .wax files show "Windows Media Player")
Steps to resolve:
- Open Default Apps
- Choose: "Choose Default apps by file type"
- Scroll down to .wav
- Change the .wav application to "Windows Media Player"
- Close the Default Apps window
- Close Outlook
- Relaunched Outlook
- Test
I have regained my ability to preview wav files.

For the System Administrators out there, you may be able to implement a login script that sets this using the following (untested) command:
ftype .wav=WMP11.AssocFile.WAV %1
or the full path:
ftype .wav="C:\Program Files (x86)\Windows Media Player\wmplayer.exe" %1
ftype documentation: https://learn.microsoft.com/en-us/windows-server/administration/windows-commands/ftype