You can only embed wav files if they are under 100kb in size. This is a default setting. Any file that is larger is automatically linked by PPT. If you want to embed the file but the file is over 100KB then you need to adjust the setting through the Office button > Options and click Advanced. In the Save section you will find an option for Link sounds with file size greater than, adjust this setting and then go ahead and add the first file and then repeat to add the second file.