In my case I am using this adapter to connect my Surface Pro 3 to various displays / TVs.
Make sure the connected display / TV does support audio over HDMI. Check if another HDMI devices does provide audio on the same HDMI port.
Select your display / TV as the primary audio device in Windows by going to the speaker symbol in the taskbar. Right click -> Sound and make sure your HDMI connection appears and is selected as primary. If it does appear and is selected as the primary device and this has not solved the issue, go to Step 3. If the HDMI connection does not appear in the list, restart the Surface with the adapter attached. If it still does not work, make sure Trusted Platform Module (TPM) is enabled by following these steps.
Right click the HDMI sound device and go to properties. Go into the advance tab and try different audio formats. This fixed it for me since your TV / display might not support all formats. Chose a format and hit “Apply”.