Fixtures do not support sound in Capture. You can control them from the internal console pane. Whereas if you need to visualise a show you need to connect them to a console.

As a side note, up to now Capture does not support sound. And even if it supported sound it would not be able to show what the fixture does when it hears a sound. The sound function works on a real fixture, which has an onboard mic. This triggers whatever is written in the fixture's firmware, which is also not public, and therefore we would not have been able to mimic it by listening to the same sound.