Can you try to set “AllowBackgroundAudio” to true in the editor settings?
It is disabled by default - and I think that is why you are not hearing any sound (because the second PIE window has no user focus and thus is in the background)
You are right about the focus and the sound.
When the PIE window is not focused, the sound is not heard.
I just did a test on my original project.
However, the option “Level Editor/Miscellaneous/Allow Background Audio” does nothing…
it seems to be broken… Maybe it’s a bug.
I have version UE5.3.2
It would be nice if someone else could confirm this.
I have been on the verge of madness for two days looking for a solution to this.