As far as I know, there’s no way to download audio directly from Roblox. You may need browser extensions. Also, other sound creators may not allow it. All Roblox’s sounds in the library are made by APM Music. But, look at this:
That means you’re not allowed to download even Roblox sounds. This is why you can’t download audio. You’d better not risk it. Check the article of Roblox support about the issue here.