I'm a newbie when it comes to DisplayFusion, so perhaps I am missing something. I notice that when I let DisplayFusion control my Screensaver I lose it's audio. Volume settings have no effect, if I run them thru my Windows 7 screensaver window the sound is back!
In order to make the screen saver work on multiple monitors, DisplayFusion has to run it in Preview mode with a custom preview window size. Unfortunately, audio isn't supported in Preview mode
Maybe it depends on the screensaver. The "Skyrocket" screensaver from www.reallyslick.com has sound, and the sound works in the Windows preview and as a DisplayFusion screensaver.