The clue is in the group title "Wolfram Programming Cloud" :)
Yes, I sometimes forget to look at that. Silly me! Play does indeed autocomplete in the Cloud, but its help clearly states that it does not work properly in the Cloud. I do believe that they work on the Wolfram Desktop, which essentially is a local version you get with a larger Cloud subscription.
Unless anyone here reports different, I'll assume this is a bug, and
will report it.
I do not think that this is a bug. Wolfram know that Play does not work in the Cloud and they state that in the documentation, i.e. this is not a bug, the definition of which is:
A software bug is an error, flaw, failure, or fault in a computer
program or system that causes it to produce an incorrect or unexpected
result, or to behave in unintended ways.
The result is not really incorrect or unexpected; in fact it is documented. :-)
I do understand, of course, that it would be nice if this feature worked in the cloud.
Also, I guess that there are security issues if the Cloud was allowed to use your speakers and/or microphone.