When you enter a workout, you'll have the A/V selection and confirmation screen (image below). This is where you'll want to ensure you have the correct audio inputs and outputs (speakers).
In the image below, you'll see a section highlighted by a green box. This is where you'll want to select the correct audio output from the dropdown options.
Most commonly, the laptop is connected to headphones/AirPods, but you're not wearing those for the workout. You can easily swap the audio output to ensure it's going to where you want it.
This applies to hearing any audio, which includes the coach and the athlete. PLEASE NOTE: You can only hear another athlete if you've friended them. If you need help on knowing how to friend fellow athletes, here's a good article.