What version of VMS?
What type files are you working with?
When you click on a file in the Explorer it should report at the bottom of the window what it thinks the video and audio is. I had VMS 10 once report an HDV file had no audio. MediaInfo reported it did have audio but when imported to the timeline there was no audio track. Such is life.
I had put the VMS version in the subject line but should have added it to the message as well. This is VMS HD Platinum 10.0.
The files are just .AVI files created though the built-in Video Capture utility in VMS. The report at the bottom of Explorer shows both Video and Audio - just as all prior version of VMS have done with AVIs.
Again, after dragging the clip to the timeline, it plays back with both audio and video properly.
I am also having this problem. If I select an item in either Project Media or Explorer and click the Play button, the preview window will shrink in size to 335x184 and move to the top of its frame and continue to display what was under the cursor in the timeline. If the item is a JPEG file, the effect lasts for 5 seconds, the default length for a still. If the item is a movie clip, the window shrinks and the sound from the select clip plays but not the video.
I needed to look in the Trimmer window to re-enable preview in Project Media. Here's the answer from Sony Support (Thanks!):
In the upper-right corner of the Trimmer window, disengage the Show Video Preview button. This will return your Auto Preview to the standard Video Preview window as in versions past.