You didn't turn off the in game sound or?
You could also take a look in to the Media folder to see if the files are there at all.
You should also try playing them manually to make sure it is not your system that has problems with playing them.
AFAIk movement sounds got added later and some games do not have them, so the question is if a game is supposed to have movement sounds. If so and none are in the folder it could be a problem with the installation or the game isn't patched to the latest version.
But I also have movement sound files in the Overland game but I do not hear them in the game when I move the units. So even if they are there the question remains if the game utilizes them.