If you try to play the media sound wave by itself it won’t generate audio. It creates audio “on the fly” when the media player itself plays. If it’s playing audio when you preview the media file, then it’s definitely working. Unfortunately you wont be able to preview the sound cue on its own with audio without playing the media file.
As for the real issue you’re trying to do: turn down all volume. Luckily all audio is by default using the master sound class. So you can just push a sound mix that sets the master sound class to 0 volume (by using the volume adjuster for the master class in the sound mix).
HOWEVER, until very recently (as in, won’t be available till 4.12 I believe), UE4 didn’t support direct dynamic volume-control of a sound class in a sound mix, which, besides a number of good sound-design use-cases, makes user-preference sliders for audio problematic (without a C++ hack). To fix this, I added a feature for paragon to allow you to override (or add) any sound class volume or pitch adjuster in any sound mix at any from BP.
In the short term, until you get the new dynamic sound-class volume feature, you can approximate a dynamic slider by creating say ~5 sound mixes (or however many you want) that set the master sound class to various levels of volume adjustment and either snap to those in the user-pref slider or just pick the nearest one.