If you rendered your video file from Vegas, please tell us what format you used.
If you selected the Main Concept encoder and used video stream for DVD Architect, you will have no sound. If that's the template you used, you'll have to go back and perform another render, this time to AC3 for the audio. Make sure to give use the same filename that you used for the video file. That way, when you open the MPEG in DVDA, the AC3 file will also be brought.