I just tried it and for me ent_playsound works as it should ent_playloop(my, beep_snd, 100); or ent_playsound(my, beep_snd, 100); in a loop.
Are you sure you haven't accidently attach the sound to an other object that you forget / or dont move?
ps: I use both Shade-C evo and physx
if you move the entity the sound plays at its new position?
I just play them from the entity's action