As mentioned in the documentation, "Internal:" sounds require "Integrated Components", which is the default setting on most installations (for a few years now).
In fact, when "Integrated Components" is not selected, the dropdown to select "Internal:" sounds should not appear at all.
"Windows Media Components" is a legacy fallback option that should not be used unless strictly necessary (it also has issues with the volume mixer, for example, which is not specific to VoiceAttack).
That said, it's certainly not supposed to crash. I'll pass that along.