The one I'm using to take the high quality shots doesn't have sound.
I do have some drones that use a GoPro though, and the GoPro records sound. It is, however, largely drowned out by the motors. I videoed the Camaro5 drags in Baytown, and to some great footage. You can hear the cars as they go off the line, and it's still pretty much drowned out. I did, however, have a part that detached from the quad, and caused it to crash on the track, fortunately when no cars were running.
Here's some footage from that event.