Just a heads up... sometimes when exporting a .wav you will get a sound that plays in WMP or other media programs, but not in Construct. I think it's a header issue, and SFXR is exporting the .wav incorrectly. Construct is just picky about proper .wav format. At least it used to be back when I made This Cursed Rock, it might not be a problem now.
I think its because you may have set it (in sfxr) to 22050 hz instead of 44100 hz. Sfxr sounds always worked for me, and I never changed the hz setting. From what I remember construct doesn't like sounds under 44100 hz.