Could you please confirm whether audio is lost at edit area only or at runtime (SWF or HTML5)?
For embedded audio files it will come as an audio icon in the output and on clicking that icon audio should play.
Please note only Narration audio from PowerPoint comes as slide audio in captivate.
Also, Can you please tell your Captivate version?
Are you using High Fidelity option or not?
Which type of audio files you are using to embed?
If it is still not working, Can you please send your pwerpoint file to me.
Adobe Captivate Engineering Team