Because of a bug, in Ubuntu 14.10 (maybe also in Ubuntu 14.04, but I never tested it), Openshot could export your video without sound. This is a known issue, caused by the mlt package. This is already fixed in Debian but, incomprehensibly, not yet in Ubuntu. While we wait the fix into the Ubuntu repository, if you need a quick fix, you can add the kdenlive ppa, with the last mlt update. For doing this, open a terminal and put:
sudo add-apt-repository ppa:sunab/kdenlive-release
sudo apt-get update
sudo apt-get upgrade
After this, you will have solved the problem and Openshot will rightly export your video, including sound.