Series 40 and Asha software platform cannot override the general volume of the device. So the application can either choose to mute it self, or use the current sound level set in the volume profile. If the volume profile is set to silent, the application cannot generate any sounds.
I did a quick test on Nokia 501 with the following code, that was placed within a try catch block:
The device was not generating any sounds when the profile was set to silent.
Player player = Manager.createPlayer("http://broadcast.infomaniak.ch/radiojazz-high.mp3");
Your issue might be a standalone issue of the software version running on your device. I have tested on 10.0.2 (dial *#0000# in order to find the current software version). In case you have an older version, you can try to enable automatic updates from the Phone update option in Settings (updates are automatically pushed via WLAN, but if you are using Mobile date you need to enable this setting).
Or it might be a bug, if you are using a slightly modified version of the snippet above. In order for me to verify, it would be great if you could share a snippet of the code that is being executed when the sound is generated.