After so many days of playing without sound (I just listened to some ambient chill on youtube music), I FINALLY found a solution to this problem.
The fix was to REMOVE or RENAME an environmental property SDL_AUDIODRIVER (I renamed it to SDL_AUDIODRIVER2 on the screenshot). I believe I added it awhile ago in order for DOSBOX to have sound (some windows update messed it up and that was the solution). This variable, somehow also affected Paradox games like EU4 and Stellaris.
So just remove it or rename it or perhaps setting to the correct value would fix it, but I never bothered to find the right value. I renamed the variable and restarted PC and voila - got sound!
The fix was to REMOVE or RENAME an environmental property SDL_AUDIODRIVER (I renamed it to SDL_AUDIODRIVER2 on the screenshot). I believe I added it awhile ago in order for DOSBOX to have sound (some windows update messed it up and that was the solution). This variable, somehow also affected Paradox games like EU4 and Stellaris.
So just remove it or rename it or perhaps setting to the correct value would fix it, but I never bothered to find the right value. I renamed the variable and restarted PC and voila - got sound!