I don't remember what the default settings for sound in DOSBox are on the clean install of Colonization, but you can change it by editing the DOXBox config file plus running the sound setup exe on the game's directory.
I always recommend using a front end to make all changes instead of manually editing the files. I use D-Fend Reloaded (
http://dfendreloaded.sourceforge.net/)
Even if GOG does a really good job at configuring DOSBox so that the games run properly on most peoples computers, you can almost always improve it; in addition to being able to change things like in Colonization's case.
If you are still interested in this (seeing now the thread is from October) and need help, let me know.