Audio is not supported on macOS Big Sur M1 used as a server (see https://kb.nomachine.com/FR12R04054) but it can work when the mac is used as a client. 

If a system dialog asking to grant NoMachine access permissions to microphone didn't appear during the installation of NoMachine or if you skipped it, grant them manually:

Open terminal and run:

sudo sqlite3 '/Users/nomachine/Library/Application Support/com.apple.TCC/TCC.db'

enter your password and type:

insert into access VALUES('kTCCServiceMicrophone','com.nomachine.nxdock',0,2,2,1,NULL,NULL,NULL,'UNUSED',NULL,0,1610447022);

Close sqlite with Ctrl+d