WhatsApp will play voice messages through your speaker, or if you lift the phone to your ear, the message will play through the receiver. When you lift the phone to your ear, the proximity sensor is tripped and the screen will turn off, just like when you are on a phone call. If you'd like to adjust the volume while listening to the message, please keep your phone close to your ear and adjust the volume.
Your phone has separate volume settings for notifications, media playback through the speaker, receiver volume and headphone volume, and the settings may differ between apps. If ever you can't hear media, just try pressing the volume up button on the side of the phone while the media is playing. It's likely that the volume setting for the output you're using is turned all the way down.
If you find your screen is going black and you're unable to hear a voice message through the speaker, you're likely tripping the proximity sensor with your finger or part of your hand. Please try readjusting your hand.