Same issue. Selecting monitor as audio output device works fines (no errors in UI, no obvious errors in logs), but display receives no audio.
MacBook Pro (16-inch, 2019)
DELL P2715Q
Problem occurs with direct connection (USB-C to MiniDisplayPort) and when connected via CalDigit TB 3 hub (USB-C to Hub to DisplayPort).
This was working earlier this year, but stopped after a system software update.