This happens with mine too.
Even with a seperate power supply for the screen (I have a 12.1" screen with a seperate power supply) it happens, because it's the audio amplifier on the picade board which is drawing too many amps at full volume.
I think someone posted the specification for the amp on here a while back, and if memory serves me right it draws up to 3A at full volume.
So pretty much any Pi power supply is not going to have enough amps.
The solution would be to use a different audio amp altogether, and power it seperately, I guess.
However I opted for the cheaper option of simply relocating the power buttons to the back of the picade, using blanking panels on the old holes, so that no-one inadvertently increases the volume too high (which was the main issue for me, I am happy enough with volume at about 75%).