The first mission in the 5k Training app is an introduction to the world of Zombies, Run! and has been ported over from the main Zombies, Run! app. Because of this it works slightly differently than the rest of the workouts. In order to hear all of the clips in this introductory mission you will need to have a playlist selected in the app’s Built-In Player (you can also use the Legacy Player if you are on an iPhone/iPod).
If you’re unsure how to play music in the app then take a look at this support page How do I Play Music?