I have installed the latest version, chosen the correct sound output, and music and sound are outputting properly now.
Here's another question ... has anyone messed with the game\files or Steam to make Steam launch the game through TFE instead? edited DosBox files and a few others (don't remember with ATM) for Tomb Raider I so Steam launches the modded version instead.
I backed up dosbox.exe. Then copied TheForceEngine.exe to the "DosBox" directory and renamed the TheForceEngine.exe to dosbox.exe. It did not work. Steam wouldn't launch it. When I physically double clicked it, it says the .DLL files where missing. So I copied all the TFE .ZIP file contents to the "DosBox" folder too and it fixed the problem. Steam now launches TFE. So this extra bit if info might be helpful to others wanting to launch TFE directly from Steam.