Occasionally I will create an audio file to accompany an image. That audio file is written to my camera's CompactFlash memory card in a wav format. In my workflow, I insert the CF card into my computer and open LR to initiate an import of the image as well as to rename the image using my own template (which is yyyy_mm_dd_HHmmss). Since LR1 and until sometime about 4 months ago, that workflow worked perfectly renaming both image and its accompanying wav file (giving both the same name) and placing both in the folder I designated during import. That enabled me to use LR to see which images had attached audio files by looking at the Library module's Metadata field entitled "Audio File" while I viewed the images as well as to play that wav file by clicking the appropriate arrow in the Metadata panel.
During the past few months I continued to use the above workflow but noticed that, though I thought that I had created wav files for some images, I no longer saw them listed in the "Audio File". Since I didn't see those audio files appear in the Metadata panel, I assumed that I had simply forgotten to create the files. However, recently returning from a large shoot, I once again followed my usual workflow but this time noted that I did have wav files on my CF card but none were imported though the images did import and were renamed according to my template.
I have spent the morning trying various methods of getting my workflow to work as it originally did but have not had any luck. Ironically, I noticed that a new version of LR was available today (2016-03-31) so I installed it but the problem has not been corrected.
Procedures I have tried and their results:
I am using Windows 10, and have tried the above procedures with image and audio files created with both a Nikon D3 and Nikon D3x.
I have searched through this and other forums and cannot find a solution to allow my workflow to work as it has for years.
I appreciate anyone's help.
It happens to me too with LR CC 2015.5 . On Windows 10, importing from an SD card doesn't import .WAV sidecars. But importing from disk folders does import them (and they show up in the Metadata panel immediately without needing to restart).
However, on Mac OS X 10.11.4, importing .WAV sidecars works from SD cards works as expected.
I suggest you file a bug report in the official Adobe feedback forum: Photoshop Lightroom | Photoshop Family Customer Community. Include all the details you've posted here (don't just link to this thread, since Adobe product developers are unlikely to click through).
I followed your directions and just posted text of full details to that forum.