I've had that exact issue with other games but not EL myself.  Cutscenes and cinematics in games are usually standalone video files these days, I suggest you go try to play them in Windows to see if you get sound there (it's a codec issue usually)

You can find all the videos here

"YOUR STEAM FOLDER"\steamapps\common\Endless Legend\EndlessLegend_Data\StreamingAssets\Movies

If you have no sound in Windows, try installing VLC player - https://www.videolan.org/vlc/

If you can now hear them with VLC, try in game and see if that works, let me know if you're still stuck

I have the same issue on Mac as well.There is no problem on Windows