When NoMachine server v. 6.10.12 is installed on a macOS 10.5, audio is not available in NoMachine sessions. This problem occurs when users connecting by NoMachine aren't privileged users on that macOS, or when an administrator  is physically logged-in to that macOS.

As a workaround:

1) Execute in a console on macOS Catalina the following command:

sqlite3 "/Users/USERNAME/Library/Application Support/com.apple.TCC/TCC.db" "insert into access VALUES('kTCCServiceMicrophone','com.nomachine.nxdock',0,1,1,NULL,NULL,NULL,'UNUSED',NULL,0,1590669365) ;"

Replace USERNAME in the above command with the appropriate name of the (unprivileged) user who will login by NoMachine. If there are more users, repeat the command for each of them.

and restart NoMachine:

/etc/NX/nxserver --restart

2) Then, open the System preferences -> Security and privacy panel and and give Full Disk Access to Terminal.