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).