Hi Nonlin,
I tested this by Playing In Editor (New Editor Window) 2 Player. All sounds were present in both windows, including footsteps.
Are you testing with the UE4.10 version in UE4.10 or are you opening a previous version of the Shooter Game in 4.10? Let me know of any other differences you can think of to reproduce this on our end.
Also, please send a copy of your dxdiag.
Thanks,