Virtual Audio Cable not working on Windows Server 2008 R2

Audio is special in a lot of ways, and audio drivers run in the context of a "session" in Windows, so each remote desktop user gets their own audio. Even on a physical machine, when you connect via remote desktop, you see different audio devices in device manager from the ones you see sitting a local keyboard.

The short answer to your question is that a VMware virtual audio device will only be visible in the "console" session, not in secondary remote desktop sessions. You can remote audio through your remote desktop, with our without a VMware virtual audio device.

I have a windows server 2012 R2 X64 with Virtual Audio Cable (v 4.13) and use it by RDP fine. In the settings RDP sessions to choose Global Resourses => Remote computer Sound => Leave at remote computer

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For advanced usage of rdp sound features read this:
https://technet.microsoft.com/en-us/library/dd759165.aspx