XACT stores relative paths, so if your working directory when you build is not the same as the directory where the XAP file is stored, it can't find the WAV files.
When Visual Studio builds your Content folder, its working directory is the Content folder. So unless your XAP file was created by XACT in that folder, it can't find any of your sound files.
The solution is a little hairy, but you get used to it. Right-click your Content node in the project, and "Add" a "New Folder". Name that folder "Audio".
Now start XACT and open your project. Save the project into the newly-created "Audio" folder under your "Content" folder, and XACT will convert all the paths.
Return to Visual Studio and remove the current XAP file from your project. Right-click on the "Audio" folder and "Add" an "Existing Item". Select the XAP file in the Audio folder, and you should be able to build successfully.
(I'm working on an audio tutorial.)