Hi! There might be some things going wrong with the sound, so I'd just list what I think could be causing issues:
Dolmexica has a few more sound file restrictions than M.U.G.E.N due to some hardware limitations (especially on the Dreamcast), so it doesn't support anything other than streaming .ogg files. Makes sense to support .mp3 for other platforms in future versions too, hopefully I can get that working in a future version soon too. Only workaround for that right now unfortunately would be to convert the files to .ogg, with Audacity or a similar audio tool program.
After rechecking, the way Dolmexica looks for a sound file right now seems to be a little broken compared to M.U.G.E.N, that was an oversight on my part. It first checks if the path is in the sound folder, but I got the name wrong, it checks in /music not /sound for some reason. I'll fix that for the next release. Then it checks if the path is relative to the stage .def file. So if you have your stage in your /stages folder and its bgmusic is set to BGM.ogg, it would look in the stages folder and use it from there. Then finally, it checks for the full path (relative to the root M.U.G.E.N folder). So if bgmusic was data/BGM.ogg, it would look in the data folder, if bgmusic was sounds/BGM.ogg it would look in the sounds folder, etc. Current workaround I would suggest to /sound as a default path being borked is moving the sound file to stages right now. Or if you want to keep them in the data folder, bgmusic with data/BGM.ogg should also work.
Thanks a lot for trying out Dolmexica and taking the time to let me know about the issues with the sound! I hope I can get them fixed soon, in the meanwhile, I hope the workarounds work for you and get it working for you!