You're probably running the game under LLE audio. Right-click the game in Dolphin and go to Properties. Select HLE audio from here (not by clicking the DSP button). 4.0 and above will override your settings with preconfigured settings in .ini files; LLE audio is set as the default however and it's more demanding than HLE audio.
If you do use HLE audio, beware of some issues you may encounter in Wind Waker. It's well documented on the Dolphin Wiki, and there are a couple other workarounds that don't involve LLE audio:
https://wiki.dolphin-emu.org/index.php?title=The_Legend_of_Zelda:_The_Wind_Waker#Black.2FGray_Screens
If you do use HLE audio, beware of some issues you may encounter in Wind Waker. It's well documented on the Dolphin Wiki, and there are a couple other workarounds that don't involve LLE audio:
https://wiki.dolphin-emu.org/index.php?title=The_Legend_of_Zelda:_The_Wind_Waker#Black.2FGray_Screens