That is intentional. Just like you cannot add images there with the insert-image-file-picker. Instead there is the Poodll Feedback plugin where you can leave audio/video feedback - the poodll file doesn't appear in the user report directly, so in the assignment text area feedback box we would leave a message that says something like 'click on your assignment to review your teacher's audio feedback.' This has worked well for us this past school year.
Another thing you could do is direct link to an externally stored audio/video file (in the assignment feedback text box) but that can be a little time consuming if your looking to do that regularly.