These files are Windows Media Audio and are specifically designed to play on Windows. You should test the wma file on a Windows machine, if at all possible using Windows Media Player, to test the file will play at all.
The issue with exporting Keynote to PowerPoint is the link to the sound file is lost during export.
The sound file is exported to a separate folder called Keynote.ppt_media, this must be copied over to the windows machine with the PowerPoint file or there will be no sound file to use.
The work around is to open the exported PowerPoint file in Windows or Mac version of Powerpoint, delete the sound file and then replace it using; Insert > movies and sounds.