Ver. 4.2.7.2 Build ID: 420m0(Build: 2) on Ubuntu 14.04. In writer, attempting to add sound from Gallery, links to sounds are shown with location (home/…/.config/libreoffice/4/user/gallery/sounds/*.wav). Actual files are missing in the location.
The sounds should be in the Gallery in Share in the installation path, not in the user path. Please have a look, whether they exist there. If they exist there, you can add that path in Tools > Options > LibreOffice > Path > Gallery as workaround. I haven’t got Ubuntu, but for me it sounds like a bug.