Only roms that don't use the Z80 to process sound actually have any at the moment; otherwise there will be but silence. If you want to see if its a problem with your install/setup/whatever of the emu or the rom, try using a game that everyone *knows* has sound - say, Sonic 1 or Phantasy Star 4. If it does, then its just because the Z80 isn't in at the moment, or possibly a rom-related problem - try getting the one specifically mentioned (USA version of Afterburner II, which identifies with a ! if scanned with Goodroms). There's also a possibility that the compatibility list is wrong.
If there is no sound, then there's something a little more bizarre going on, though I've not a clue what...