https://retropie.org.uk/docs/Shaders-and-Smoothing/

Are you sure your audio cable is not damaged ? You could check that the Headphone output is not muted - check if there's an 'M' under the volume slider in alsamixer.

@cajacks1 Are you sure you configured the Select key as a Hotkey and you didn't choose something else during the input configuration setup ? The exit shortcut is Hotkey + Start, so if you chose a different key as Hotkey, Select + Start might not work.