ltsp 4.2 shows problem with NASD ,as NASD is the oldest in case of supporting unix terminal server.So while switching from ltsp 4.1 to 4.2 problem may arise with nasd configuration.
So in order to have local sound configuration it is better to use ESD as compared to NASD ,though ESD is quit buggy.
As ALSA is now being the most widely supported ,so it is for sure that vendors will be supporting ALSA as compared to ESD,OSS,aRts ,etc.
sounds confusing right!!!
In order to have sound from your local terminal ,download LTSP-esd-alsa 1.0.0 -2 .Install it in your server.
Now configure your ESD as primary.
Also change preference of media players to have ESD as default.
As shown in figures beside.
You can download the package LTSP-esd-alsa 1.0.0-2 from here