Have you created the .ac3 streams? I suspect not.You've probably selected the option to create MPEG files in Sony Vegas and chosen "DVD Architect Video Stream" template. this does not produce any audio.
Render a second time using the Dolby Digital (ac3) format and give the file the same name (except the extension) and all should be good.
Ooops. Just re-read, you click a button in Studio to Make DVD - I'm not entirekly sure how that workflow works, but the above may give you a clue.