I’ve seen someone talking about this before on Reddit: https://www.reddit.com/r/emulation/comments/q2hops/give_ps1_games_a_new_feel/

The general explanation is that the game audio is flowing through the controller. I don’t have a DualSense myself but I’d suggest looking at the RetroArch menu for Sound and see if you can change the output device to explicitly be HDMI (or component if you use that).

Confusingly Recalbox has wireless Bluetooth controllers connect under the same menu as a remote Bluetooth speaker so I don’t get the feeling that you can fix this from EmulationStation (the Recalbox front end).

@kamilcieplak The Recalbox team has few people, and the system is distributed for free, it doesn't make a profit, so there's no way to test all the possible hardware. We automatically depend on user feedback.

Unfortunately, users usually only give feedback when something doesn't work, so I'm not sure that's possible (I don't have this joystick).

You can test it by changing the core options as the official documentation says:
https://docs.libretro.com/library/pcsx_rearmed/#rumble

The link above is from the PCSX ReARMed documentation, if you want to test with another emulator/core, search for the corresponding documentation.