A blog post and its embedded content can potentially appear in many places: on the canonical blog, in the Micro.blog timeline on the web, on other services where it’s cross-posted, in various Micro.blog clients (both official and third-party), in people’s RSS readers, and so on.
On the actual blog, embedded content should always display unless the theme explicitly omits it in certain cases. That’s the one place where you, as the author, have full control.
Everywhere else, different rules apply. Here are the rules for the Micro.blog timeline, for example.
I’m not sure where your screenshot is from—maybe an RSS reader? Reeder, perhaps? In this case, it looks like the RSS reader you’re using chooses not to display the embedded <audio> element.