I´m really disapointed with the performance of the outputs DAC0 and DAC1. No sound at all!
I´m using the Evaluation Board UG-072. It should be easier to get a simple sound.
Do I have to set up anything?
The UG-072 document describes the ADAU1401ABEZ evaluation board, a 6" x 6" board with many setup options / jumpers yet with no Class-D amplifier. Its four DAC outputs have active op-amp filters with 600 ohm output impedance -- these outputs can drive an external amplifier but you'll get little or no sound with headphones. The much smaller ADAU1701MINIZ board does include an on-board SSM2306 2-watt Class-D amplifier wired to DACs 0,1. Its speaker outputs are available at the green terminal board. DACs 2,3 output to a headphone jack with sufficiently low impedance to drive sensitive headphones or an external amplifier.
Examining your screenshot, I cannot see what signal you have feeding the VCO. I'd suggest testing with a straight sine oscillator instead -- one less thing to go wrong. If your ADAU1401ABEZ board is new out of the box its switches and jumpers should already be set to get output from the DACs -- but if not, carefully go over the settings shown on page 3 of document UG-072.
If you're actually using the ADAU1701MINIZ board and cannot get output from its Class-D amplifier via the two speaker outputs on its green terminal board -- the SSM2306 is off by default, you need to enable it. To do this, first go to Hardware Configuration / 170x/140x Register Control and set MP7 to Output GPIO:
Then add a nonzero DC source feeding GPIO output 7, as shown below: