@ol-dustin
No you dont need to add audio files. If you have them set up as the language you are studying, it should work. It does with my custom one.
What I mean with set up is under Tools - Manage Note Types - Select your note type - Migaku Options
EDIT: Just quickly tried it with the card type I created yesterday for a video and the on click audio works.
Here is what I did: https://youtu.be/LFQszL6chfQ?t=310