You are correct in that the little speaker icon doesn't come up for messages you're composing until you're looking at them in the Sent folder. There is no real reason for this to work in the composition window because you can and should listen to what you're about to attach via your native media player before you attach it. That saves the time of uploading it if it's the wrong one.
The presumption, and it's a reasonable one, is that one knows what one wishes to attach before one attaches it and that checking audio files should have been done before they were attached to send.
The listening is possible in the Inbox and the Sent folder because a recipient may not wish to download a given attachment and someone who sent a sound file as an attachment some time ago may have no idea of exactly what it's content was. When you're in the moment of sending it's presumed you know what you're sending and why, not checking that what you're about to send is correct after you've attached it.
One can attach files to a Gmail message via drag and drop out of a file explorer window. You don't need to use the attach files button. If you need to know that what you're attaching is correct then just double click on it in the file explorer window and it will play in your default media player. If it's correct then just drag that file over on top of your message in the compose window and it will attach.
Brian AKA Bri the Tech Guy (website in my user profile) - Windows 10 Home, 64-Bit, Version 1803, Build 17134
Memory is a crazy woman that hoards rags and throws away food.
~ Austin O'Malley