Whenever you try to add a sound in actions the object unselects itself, so you have to reselect the Object fom the list then reselect the Action you added the sound to
On windows 10 this happens everytime so its easy to repulicate
Pick a scene object
create an action (left click here)
Create a new action part..
Select Multimedia.. Play Sound
Click add sound file and select a sound file.. double click on the sound file
and it resets
I just realised this is a wxWidget "thing", Thea render used to do something similar for image files (it would crash Sketchup).. but I'll still point it out