What is your audio setup? Do you use the TV’s internal speakers, or something else?
For many setups, the Siri Remote would use IR to send audio control signals directly to a TV or audio system. The standard signals should be understood by most third party equipment. Verify that the IR receptor is unobstructed.
For equipment that may require specific non-default signals, you may learn it a new device. Apple TV: Settings﹥Remotes and Devices﹥Volume Control﹥Learn New Device
Verify that volume controls are set up as intended (not off, not the wrong device): Apple TV: Settings﹥Remotes and Devices﹥Volume Control﹥