Some projectors will only produce audio when you use the AV input. Even if your DVD has analog audio out you can't select the HDMI for video and the AV input for audio. You can connect the DVD audio output to a soundbar or HTS.
Help no sound! Projector comes with speaker but nothing coming through it?
I had the same issue when trying to use Netflix, even though I heard all the sound effects. The shows wouldn't play any of the sounds. I found that my projector won't detect surround sound. I changed the Apple TV setting from Auto to 16 bit for the audio output.