Hi & Welcome to the MacProVideo Forum!
Are you using an audio interface other than your mac's built-in audio?
Can you hear audio from any other application on your mac through your desired audio interface?
Have you tried this:
Edit>Preferences>Audio and change the Audio Card Driver to the audio interface you are using.
Let us know if you still can't hear any sound.
Sorry, go to:
Reason > Preferences > and select 'Audio'
then choose your audio interface...
I was thinking of the ...er...pc version :-0 I used a while ago... I've just downloaded the mac demo for reason 4.0 :-)