Mac
If you are recording on Full-Screen mode you can find the microphone icon to enable or disable audio recording.
On the recording bar Before you start recording, press the microphone icon to enable or disable audio recording.
You can also turn on/ off the audio before recording, as shown here:
You can record sound for HD videos only. If you have recorded a GIF, it will only play without sound. Read more about the differences between a GIF and a HD recording here.