Hi Wendy,
If your video playback is set to apple firewire PAL it is quite normal that the grey firewire DV audio output option is also checked when you choose Audio Follows Video.
Try this:
First you choose Final Cut Pro > Audio/Video Settings.
In the Audio/Video settings window, click A/V Devices. Make sure your settings are set just like you see in the attached picture. Also make sure that the "Different Output for Edit To Tape" option is UN-checked and click OK.
Now choose View > Refresh AV Devices
Finally choose View > External Video > All Frames and play your timeline to your device. Do you have any audio now ?
Best wishes,
Ronny