Occasionally I've noticed on a restart that audio doesn't work for me, but I've fixed that be re-enabling the audio device. Basically sometimes Windows will not get the audio stuff started correctly, but it's not hard to fix. Restarting the Windows Audio service has worked, as has changing the audio device. That being said though, I'm running through the speakers port and not HDMI, so things may be different.
First thing I would recommend you doing, if what I mention above doesn't help, is watching the volume mixer or playback devices menu (your second image) while playing some audio file. We want to make sure Windows thinks it should be making some noise. You should also try connecting headphones or more traditional speakers so we can know if it is all audio or just HDMI audio that is a problem, but that would be a different step than just testing for any playback.
Something else I've just remember is that you can Right-Click in the audio devices window to have it show disabled and disconnected devices. Perhaps that option you can't remember is there after all, but not visible.
Processor: AMD Phenom II 720 BE, 4-core, @3.40GHz (17.0x200)
Cooling: Corsair H50 with Push-pull Akasa 120mm fans
Motherboard: ASUS M4A785TD-V EVO 785G
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PhysX: MSI GTS 250 1GB
RAM: Corsair Dominator 2x2 GB and G.Skill Ripjaws 2x4 GB (12 GB total) @ 1600MHZ 9-10-9-28
PSU: Corsair 750TX
OS: Windows 7- Home Premium 64-bit
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