Yes, any kind of communication for diagnostics would be great. But what I understand is that the Mac Pro have loudspeakers (not only used for diagnostics) like the iMac. However there aren't any in the Apple Display.
In the context of the Pro Apple Display trying to display trying to replace reference monitors in a reference studio, the folks buying this monitor will already have some at least multiple $100 ( and often $1,000+ ) budget allocated for discrete speakers.
Audio scoring work for some big budget video project ... basically the same issue.
As a live, tethered, "Group Review' monitor in a high end photography studio context: audio isn't even a pressing issue as it is all static pictures.
Those were the two major use case, Apple highlighted in their WWDC demo room.
If trying to evaluate the XDR against Bubba Joe's generic desktop monitor it is a completely different context. I'm sure will be a small number of folks who press this monitor into places wasn't particularly designed for ( code development, internet streaming video watching , etc. ). However, also throwing discretion money on the 'fire' just to buy the XDR anyway. Buying some external speakers isn't that much bigger of a pull.
I've been through the AR and photo break downs on the Apple website for the new Mac Pro there is nothing like the iMac or iMac Pro speaker assemblies there at all. I'm sure they have stuffed 'something' into one of the air channeling guides but it is likely not to much better than the Mini or some of the lower end Mac Laptops. The tech specs for the new Mac Pro says that it has a "speaker" ( singular. ). Most Macs have stereo speakers. Especially in the 'ego purchase' context.
Again it would be useful to examine the contexts where folks have already deployed Mac Pros. I'd wager more than a few folks already have external speakers (spanning an extremely wide range of costs) connected to their systems. Same thing true here. A fair number of those are going to extremely more affordable monitors that have speakers. I'd be very surprised if the Pro XDR shipped with Mac Pro's even at rate of 20% of desktop case style Mac Pro sold. The rack versions (presuming that Apple doesn't flake on making them ) will probably be relatively close to zero percent bundled with a XDR.