I just had a look in my installation, and though I found a whole bunch of .mp3 files in the various ../Sounds/ folders (one for Vanilla, one for PtW, and one for Conquests), none of the filenames were an obvious match for the intro-movies, and none of the files (with the more obscure names) that I tried playing seemed to correspond to the movies either.
While my checks weren't exhaustive, it seems safe to assume that the audio-tracks were/are packaged into the .bik movie-files, along with the video.