Got it working, but that was not easy
Well, after lots of investigations I found a notice on the ATI (AMD) site stating that it may need to install the "UAA HDMI Audio Class Driver" piece of software to have the audio go out via the HDMI connector.
Trouble is that piece of software NEVER was publicly available from Microsoft, and one had to require it to get it!!!!!!!!!!!!!!!!
Of course, nowadays, the link to ask for it is no longer working, so....
After some more investigation, it happens ATI/AMD provides it, but you have to search around good to get it.
Go to http://support.amd.com/us/gpudownload/Pages/index.aspx
then select the type, family and product, plus the OS.
Click on "Display Results" then on the "Optional Downloads" tab, and eventually you can see
AMD HDMI Audio Driver for AMD Radeon™ products 24.7 MB 11.12 12/13/2011
Includes AMD HDMI Audio Driver and Microsoft UAA HDMI Audio Class Driver for English
And it worked for my setting, which is, for the least, unconventional:
-Apple MacPro 2007 (hardware not supposed to handle audio via HDMI)
-Radeon HD 5770, but not official Apple, this is a PC card which has been flashed with an Apple-compatible BIOS
-Boot under OSX 10.6.6 on one HD: video to HDMI with a DVI-to-HDMI converter, audio via external cable
-Boot under WindowsXP Pro SP3 on another HD: video and sound from HDMI to HMDI
So to everybody out there, along with the guys at Philips, if you have audio troubles, try to grab and install that
UAA HDMI Audio Class Driver