DIAGNOSIS The monitor's audio-out jack only carries audio from the current video input. Windows is likely still set to output to your PC's sound card or speakers.
FIX In Windows, right-click the sound icon and select 'Open Sound settings'. Under 'Output', change the device from your speakers or motherboard audio to 'Speakers (VX2768-2KP-MHD)'. The monitor must be the active display for this option to appear.
IF THAT DIDN'T WORK The audio is not being sent over the video cable. Ensure you are using a DisplayPort cable (carries audio by default) or, if using HDMI, go into Windows sound control panel, select the monitor device, and ensure it's not disabled.
HEADS UP The monitor does not have built-in speakers. The jack is a pass-through for the audio signal from your PC; you must plug headphones or external speakers into it.