Since the introduction of AFV (Audio for VATSIM), the voice ATIS is no longer created by ES itself, but rendered by the AFV server from the text ATIS. Therefore, only the text ATIS needs to be connected. Within around 10-15 seconds, the corresponding voice ATIS will show up online. Any error message of ES not finding any voice files to play can be disregarded, as these files are no longer used for creating the voice ATIS. Unfortunately, ES does not offer (yet) a corresponding option. Also the option to record a complete ATIS from your own voice is not yet introduced via AFV.
From the Audio for VATSIM guide (page 51):
In order to put an AFV ATIS up with Euroscope, you only need to connect a text ATIS. The AFV ATIS server will synthesise the voice ATIS from the generated ATIS text.
Do not "Start multiple record playback" in the voice ATIS setup dialogue.
In the voice communications dialogue, you only need the ATIS box checked. The XMT/RCV VOI boxes should not be checked.