Yes, at this point, I think you’re correct that UMG is the issue. Have you been able to get it to work without using UMG? I’m not quite familiar how media player works in UMG. I followed the documentation here: Media Framework in Unreal Engine | Unreal Engine 5.1 Documentation
Create a media texture and play the media that way. In that case, it does play the audio correctly.
It could be that UMG is not playing audio through the ambient actor but instead doing something else (and not setting up the sound class properly).