Hi Rock, yes, it would be a good idea to make sure the Teensy has the latest firmware. You can update it from the Firmware tab of OP Config, just note that after you click the "Flash" button in OP Config, you also have to press the little physical button that is on the Teensy itself (you have about 10 seconds to push it after the Flash has begun). This tells the Teensy to accept new firmware.
When I look at the Word document you posted I can see that some files were successfully played, although the format of the text looks different that I would expect, I beleive it is also supposed to print the track length for each file that gets played. So that may indicate that your firmware is an old version.
Yes, I think the lack of sound during the test routine is probably because you don't have a volume pot and of course the TCB is not sending any volume commands. So I think you will need to plug in a potentiometer, hopefully you have one.
See if those changes are of any help. If you still have problems, what I would recommend next is to remove all the sound files from the SD card, and add one file at a time and run through the test. Of course you can skip the files that you know already work. Maybe there is one file in there somewhere that is corrupted and causing problems, and in this way, although tedious, you may be able to discover which one it is. But if none of your problem files are playing, even when they are the only file on the SD card, then it probably indicates the file is not formatted correctly somehow. Audacity in theory should work just fine, and it sounds to me like you have saved them in the correct format, but who knows if maybe something went wrong in the conversion.
I'm sorry I'm not able to be of more help, but I hope with some tinkering and exploring on your end we can figure out what is going on.