We found out there is issue with audio language setting not applying correctly - we are working on permanent fix for this issue but here is workaround for the current (0.3.0) version of the game on steam:
1. Set desired audio language.
2. Set text language to the same language as desired audio language.
3. Restart game.
4. Audio language should be as desired, now you can switch text language back to what you want (this setting works in runtime without need to restart the game).