When I click "New Sequence From Clip," it doesn't bring over the audio to the new sequence?

Please use the free MediaInfo and post a screenshot of the properties of your media in tree view.
https://mediaarea.net/en/MediaInfo

Many users are having issues with VFR. If the file is variable frame rate.
Use Handbrake to convert to constant frame rate before importing into Premiere Pro:
https://handbrake.fr/downloads.php

Here is a tutorial:

https://www.youtube.com/watch?time_continue=34&v=xlvxgVREX-Y

Shutter Encoder may also be used to convert to Constant Frame Rate:    https://www.shutterencoder.com/en/

After you create the sequence, are you able to drag the audio into it manually? If not, Premiere Pro may not support the audio codec in that file.