vFouad, thank you for pointing it out . I have rechecked and tested options:
Option 1. For Windows VM you don't need to add sound card inside a VM with you connect with RDP. When you use RDP a remote sound device will be added for remote sound playback.
Option 2. For any types of VMs you can add soundcard using Host Client (step 1) also use VMware Remote Console (Windows, macOS, Linux) to connect to a VM 2.