Maybe you need to add these properities to the sound? Like Unit, Movement or something. There are 2 drop down menu options in each sound.
Movement sounds only apply to certain kinds of ground.
What you'd have to do is do it via triggers and "apply to unit 3D position" or whatever it's called. As far as movement detection, you could do a periodic event that checks unit positions, or you could make a pain in the ass movement detection system that tells it to loop if a unit is ordered to move/attack walk/smart/cast to a position that's not in range yet, and if they can even move at that moment, then you'd have to stop it via via things that would cause movement to stop. Obviously the easier route of those two is to just evaluate unit positions with a periodic.
Units\Human\SteamTank\SteamTankMovement.wav