I've had the same problem when I installed openSUSE, but I wisely checked where does the output go. Windows also sends audio to stupid places sometimes. For me, alsa output is working for everything. For Steam I can't really change the output, so I start from terminal with SDL_AUDIODRIVER=alsa steam, but qmmp is able to change output in settings. You won't care about file, PulseAudio never works (???), /dev/null is stupid..., but alsa works just fine.

Yeah, a bit bad in Linux, that it doesn't check what works on the computer at install/startup.