What does it mean?
It means that the embedded audio player is not working anymore for newly requested audios, and that you need an external one to play them.
Please do also know that the files aren't in any way changed, this problem only affects the way how Telegram shows them to you.
Also, if you want to save the file on your phone/tablet, you have to first download it using Telegram, then you can open the file's menu and press Save to downloads instead of Save to music; you'll find the file in your Download folder and not in your Music folder anymore.
I know it has become a bit uncomfortable, but we will for sure restore the functionality as soon as Telegram allows us to do so!