To the best of my knowledge, a microphone has never been sent to Mars. Why is that? We take pictures of Mars, why not sound recordings?
Your premise is incorrect. Microphones have been carried on Mars missions, they just failed to work. Mars 2020 will carry microphones.
NASA spacecraft that traveled to Mars in the past have carried microphones twice. Unfortunately, one of those missions, the Mars Polar Lander, failed. The Phoenix Lander had a microphone on the spacecraft’s descent camera, but that instrument was never turned on.
When the Mars 2020 rover arrives at Mars, it will have two microphones. It will make it possible for our robots to not only touch and taste, but finally hear, the sounds of Mars.
The reason the Phoenix Lander's microphone was never turned on is that it was part of a camera that routed data through an interface card. A flaw was discovered in the interface card that could have caused the landing to fail if the camera took an image at the wrong time during descent, and it was too late to repair the card, so they decided to launch as it was but not turn on the camera during descent. Since the microphone was attached to the camera, that means the microphone was also off. source
The latest mission to land on Mars actually had a number of instruments to listen to the Martian surface. You can hear an audio clip of Mars sent back by the rover here: https://solarsystem.nasa.gov/news/783/nasa-insight-lander-hears-martian-winds/