When using the Zoom Screen Share function to show video clips and other media files that require audio, activated the two checkboxes at the bottom left of the Share Screen options before clicking the Share button. If you are already sharing a video and other Zoom attendees can't hear the audio, stop sharing your screen, and try again, ensuring that the two boxes are checked.
By default, Zoom does not share your computer's sounds (to minimize distractions from notifications), and videos will be choppy in order to save network bandwidth, but if you enable these two checkboxes, it will broadcast your computer audio to all Zoom participants, and it will use more network bandwidth to improve video playback quality. You must select these options each time you intend to share a video in your Zoom meeting.