Apple Vision Pro No Media or Siri Volume

On my new Apple Vision Pro I installed the latest software updated to 1.0.2. I did not try to play music or video before that.

While the guided setup has volume neither Apple TV, Apple Music nor even Siri has any volume at all. I have tried adjusting the volume and asking Siri to mute and unmute but nothing has any effect. Siri responses are shown on the display in text, no sound.

Since the setup has volume I assume I am doing something wrong. But other than the very obvious volume slider and the fact it is NOT connected to any Bluetooth devices, what can I do to fix this?