There are access failure records for .CDA files in Audit Log referring to denying Content-Aware rule that denies reading/copying of .CDA files to DVD/CD-ROM device type, however users are still able to play music from audio CDs using, for example, Windows Media Player.
These are not audio files, but audio tracks. The difference is that .CDA files represent shortcuts to audio tracks to ease access for end users, while, e.g. Windows Media Player does not need them for playing/converting music, as the .CDA file itself contains no data.As a result, the audio tracks cannot be directly controlled with Content-Aware Rules, that are only capable of controlling 'User' - 'File' operations.
You can restrict whole DVD/CD-ROM type and authorize only certain permitted CD discs using Media White List if you need to disallow users from playing and copying audio CDs for some reason.