Here are the steps I'm using to try to recreate the problem:
Set up VA to start with Windows' startup.
Set a joystick button to toggle listening on and off.
Test listening with the joystick, and verify that everything is working (listening is toggling, and sounds are working).
Restart Windows
VoiceAttack loads up
Press assigned joystick button to toggle listening
At this point sound is not playing for start/stop listening
I've done all of these steps and my sounds are playing without issue.
The problem may actually be with your machine, as this looks like a case of your sound card not initializing in a timely manner. VA's start/stop listening and command stop sounds use the same exact function, and the sounds are not loaded from disk (they are built into VA), so this is not an I/O issue (as may be the case with overriding the sounds).
Have you tried anything else like assigning a button to, 'stop commands' to see if it exhibits the same behavior (without clicking on the VA interface)? What happens if you keep toggling listening on and off? Does anything happen?
I'd try updating my drivers to see if that helps at all.