That's what they're called in the game, or possibly pict-captures. The first one you find on a corpse on the Martyr and it is a short video of the first Hell-beast. The second you receive when the female Inquisitor contacts you and sends you to investigate the disappearances on Aethon Prime (side note - these missions actually take place on a different planet in the Aethon system) and is a a video supposedly captured by an infiltrator that features a shot of three ships approaching a planet and then cuts to a Word Bearer, an Alpha Legion marine and a Black Legion marine having a conversation. These videos play in an in-game window and are then available to replay from my Journal as clues but still have no sound.

I am assuming they should have sound because the note in the Investigation says that they "talked about" an artifact. It is not just a soind issue as no subtitles appear either. This appears to be the same bug noted in a Steam forum post of August 2018 which had a dev response that they were aware and working on it.

I should also repeat that when I met the group of Chaos Space Marines at the end of the penultimate mission in the Chaos Below investigation there was no sound there either. The black letterbox effect appeared, my Inquisitor approached them, then just silence. They just stood there looking at each other until I pressed 'skip cutscene.'

It almost seems like the game isn't accessing their voice lines.