The sound in your decoder shuts down after you stop it and you are not using a Digitrax system for control.
On some DCC systems decoders are not addressed by DCC packets after the locomotive is set to 0 speed. In this case after the CV11 timeout elapses (6 second factory default setting for SoundFX decoders), sound will shut down.
To remove the timeout and prevent sound shutdown, set CV11=00. This would leave the sound in the locomotive on until you remove power from the loco.
Digitrax command stations continue to refresh locomotives by periodically sending packets to them as long as they are still in the system even at 0 speed. This refresh continues until the locomotive address is purged from the Digitrax system. Some Non-Digitrax command stations cease refreshing addresses when they are set to 0 speed.