[..its help clearly states that it does not work properly in the Cloud.]
It's help clearly does not state that. And indeed it works fine in the cloud. Just not in the IDE.
Well mine looks like this:

There is a little Cloud symbol on the upper right which is indicating that this does not work in the cloud. If you hover over it it says:
"This feature is not supported on the Wolfram Cloud." I interpreted this to mean that it does not work properly in the cloud.
The result is not documented in the article you referenced.
Well if you hover over the cloud symbol it says "This feature is not supported on the Wolfram Cloud." This is in the documentation. So I thought that it is documented that it is not supported in the cloud.
Play[] doesn't need a mic, just a Graphics[] doesn't need a camera.
I do understand that speakers and miss are different things. However, both need sound drivers; often the same driver is responsible to address the soundcard which is responsible for the speaker and the mic. There are often issues with that when you use screensharing and other programs. Also the cloud is still in beta, I believe, so people might be working on this.
At the moment, Play is not supported on the Wolfram Cloud.
Cheers,
Marco