Hey, I've bought the full package Heretic + Hexen Collection and only Hexen 2 has sound for me.
I'm playing on Windows 10, I'm not familiar with DOS box configuration and I don't know what to do.
Can anyone help me?

DOSBox emulates its own sound card to the game it is running. All stored in the .conf files in the games folder (if a GoG install). Did you mess with the setup in the game? In Heretic or Hexen, start game and hit "2" to go to setup settings.
Heretic should show Sound Blaster for music and sound fx.
Hexen will show CD for music, and sound blaster for sound fx.
In both, you can "change" sound card, select sound blaster again, and make sure Port is 220, IRQ is 7, DMA is 1, 8 mix voices. Note: only port is shown for the music selection. And yes, you can change Hexen to Sound Blaster instead of CD if desired.

Do other games from GoG that use DOSBOX work fine on your system? If not then this may help:
https://www.gog.com/forum/general/no_sound_on_any_dosbox_games_win7_64bit_realtek_digital_output
Something to do with SDL and dsound.

Thank you, I will try your solution and get back to you

This trick with the registry helped me :) Now I can play all games with sound. Thank you

1) https://www.gog.com/forum/heretic_hexen_collection/heretic_and_hexen_1_sourceports

For Heretic and Hexen 1, start off with GZdoom. Enjoy.

2) https://www.gog.com/forum/heretic_hexen_collection/hexen_2_sourceports

For Hexen 2, use Hammer of Thyrion.

If you need more sourceports: https://github.com/dosbox-staging/dosbox-staging/wiki/Sourceport-Links-for-Classic-DOS-First-Person-Shooters