To anyone who is still having this problem , I'm using remote play with ps4 and mac setup and was able to figure this out!
On Mac, press the option button, and while you're holding that, click the volume button in the taskbar.
This will allow you to simply change the output device for sound from *Remote Speaker* to *Internal speaker*(referring to mac speaker) and voila !!!
I'm sure there is a similar step for windows too !!
