WAV files are audio containers that can carry different encoding formats inside of them, sndplay can only playback PCM WAVs which is what the files that play correctly are. Windows on your laptop contains a system component called the Audio Codec Manager which enables Windows Media Player and other Directshow compatible players to decode and play a wide variety of audio formats, this component has no direct equivalent in Windows Mobile.
All very interesting but that doesn't really solve the problem. For that you will need
The Core Pocket Media Player, it will play your (slightly strange) WAV files and tell you what encoding format they use.