Unfortunately, some cameras don't output audio properly over HDMI. This is a function of the camera's design, it's not caused by the SlingStudio hub.
Still, you should try the usual troubleshooting steps first (for example, make sure the camera is properly connected, try a different HDMI cable, make sure that the camera doesn't have some audio-out setting that could be causing a problem).
But if none of these steps makes a difference, then you may have an HDMI camera that doesn't output audio signals properly.
In this case, you'll need to explore other options for audio. For example, you could use a nearby smartphone for audio. Or you could use a preamplified microphone that's connected to the SlingStudio audio-in port (directly above the AC power port).