Without using Wallpaper Engine myself, the first steps you could take are generally checking what settings you have in the Windows Sound Settings panel and Wallpaper Engine itself. Nearly every application that plays sound has some settings for it.
While your description more or less do sound like some kind of technical problem, there always is a good chance it can be solved by correctly configuring everything. For example, there could be a selection for the wanted sound device in the application or, on the Windows-side, check if you have the setting for “exclusive mode” enable (can be googled easily by something like “windows sound disable exclusive mode”). Make sure you disable it for the correct sound device.
However, problem analysis from afar is always difficult; so, is there a bit better/more detailed description of your issue? Maybe an error message of any kind? Step-by-step description?
The next thing you can try is asking on the other side also for known issues; meaning, the Wallpaper Engine support in this case.