I just figured this out.
So when you play a movie using the new Media Framework player, it feeds two assets with the content of the video. The video is sent to the texture file while the audio is sent to the sound file.
Just like with the texture needing to be assigned to a UMG widget or material, the audio needs to be spawned into your world. UMG doesn’t have any sound capabilities, all sound is handled as part of the game world.
So, long story short, you simply need to get a reference to your sound asset (That’s going to have the audio streamed to it from the video file) and tell it to play as a 2D sound!
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(Also, be sure to turn on the volume in the editor using the Options button (Stack of Gears button))