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