I am using UE 4.25.3 and I am having this problem.
If I use any looping WAV or CUE (in CUE I just use Wave Player and Output nodes for testing) as an Anim Notify sound I am not able to hear sound when previewing animation or inside the editor playing.
As soon as I untick “looping” in either WAV settings or in CUE Wave Player options I am able to hear sounds normally.
I am using some looping excavator sound for my current project and it looks I will have to use full length sounds for all the rest of my animations until this problem is solved.