When making changes to the VM, best to have the VM off. Make the changes and boot the VM.
This took me hours to figure out, with most of the time used searching and with no avail. So I started to experiment and found the answer.
In the Proxmox PVE VM, go to Hardware and make sure that Display is set to SPICE (qxl):
This will activate the audio in Windows 11.
Even though the audio is activated on Windows 11, unless the Audio output mode is set to Local on the RDP client, Windows will shows no audio.
Windows RDP client:
If using Remmina: