I have the exact same problem, and Steve’s solution also works for me.
My audio folder path is properly defined and verified in the plugin settings.
At first I thought it was a permissions issue. My Audio folder was set to 705 and when I uploaded new mp3 files to the audio folder, they would receive CHMOD 664.
I switched all permissions to 777 but that did not fix the ‘file not found’ problem. But using the full url does.
Here’s a page on my site which demonstrates this:
https://www.charlesparente.com/audio-player-problems/
The visual editor does not add any extra code at all for me.
Here’s the code created when using the full file path:
<p>[audio:https://www.charlesparente.com/audio/Instrumentalmontage4_samplecpdotcom.mp3%5D</p>
Here’s the code created when using just the file name:
<p>[audio:Instrumentalmontage4_samplecpdotcom.mp3]</p>
Thanks,
Charles