You’ll see an option to Open Config File in Editor. You can open the VMX file for your VM by going to the Virtual Machine Library and then holding down the Option key and right-clicking on the VM. There are also some configuration settings in your VMX file related to sound that could be causing the problem.
If this was already enabled for you, then your problem is something else, so keep reading.
Then it will show up and then you can turn it on. Note that if you don’t even have the Sound Card item under Removable Devices, you have to click on Add Device in the Settings dialog and then choose Sound Card.