As a workaround for monitoring audio you could install Stream What You Hear onto the client computers.
http://www.streamwhatyouhear.com/download/
Use the SWYH HTTP Live Streaming option and a player like Media Player Classic Home Cinema.
In SWYH settings choose a specific HTTP port and automatically run on log in.
From the MPC-HC File menu select Open File then enter the client computer streaming URL:
http://ip-address:port/stream/swyh.mp3 or http://computername:port/stream/swyh.mp3
Audio playing on the chosen client computer will be heard on the Veyon master computer.
From a command prompt:
"C:\Program Files\MPC-HC\mpc-hc64.exe" http://10.62.64.75:5901/stream/swyh.mp3
"C:\Program Files\MPC-HC\mpc-hc64.exe" http://LABx64075:5901/stream/swyh.mp3
A suggestion would be to create a folder of player shortcuts on the desktop, one for each client computer either by name or IP.