This seems to happen because of a problem or incompatibility with Apple's version of Java, which Mathematica uses by default. (Mathematica does not ship with Java on OS X.)
I believe this could be fixed by changing the default Java of the system to be Oracle's Java 7, but I did not want to do that for various reasons (Java 7 doesn't have retina support).
The following solution worked for me: if you install the Java 7 internet plugin, it won't change the version of Java used to run applications (the default version). It will only change the Java used for the browser plugin. You can still ask Mathematica to use this Java installation using something like
SoundNote sounds will play fine.