I did a number of tests, on my 1024x768 layout for FLX export... and here is what worked:
If I simply placed an audio file on my page the default frame is 60px x 60px and much of the controller skin is clipped when exported, so you can't control the music.
It wasn't until I enlarged the frame to at least 100 x 100px was I able to see the entire skin and volume controller on the exported epub and control the audio file in the epub. I'll work with this.
It would be nice if we could control the look and aspect ratio of the controller skin and volume slider from ID, since square 100 x 100 px black skins look rather imposing on a cleanly designed page... but I haven't fully researched that yet.
The problem is that you will spend time placing a controller skin in the Indesign layout and making sure it looks right and works in the Interactivity Previewer, but when exported into the Epub it is a completely different skin, with different aspect ratio and design, so you will need to further adjust your layout to accommodate.
I designed a 200 page book with lots of audio skins but when exported, none of new skins produced in the epub exported format fit my layout design. Ouch!
I believe that the Media panel skins were originally designed for Flash (SWF) output. I think they're discarded when EPUB is exported, and each EPUB reader provides its own interface.