You want to know if sound played on the host can be transmitted to and played on the remote while in a remote control session.
The only type of information that pcAnywhere is designed to transmit from the host machine to the remote machine is video display information. It is not possible to hear, at the remote, any type of audio played on the host.
The only workaround is to transfer the desired audio files (.WAV or .MID, etc.) to the remote, and then play those files using Microsoft's Media Player or other appropriate software installed on the remote machine.