I can take an ordinary movie mp4 clip that I did not create, open and play it in Photoshop and be able to use my headphones to listen to the audio. But have not yet tried animation. Has this always been the case or did this problem recently start? If so, a Preferences reset of Photoshop may fix it.
That would be Photoshop CC 2018 on a mid 2012 MBP.
But anyway check your audio preferences in your Mac and see if Headphones are checked and if not, see if you can check them.
Photoshop is kind of spartan for producing movies. It does not have the options of directing he sound to the right device like Premier Pro.
You can also check Apple discussion groups and see what they suggest.
I'm not really experienced at all in creating video, but at least I hope to give you a few ideas.