Here's what I gathered from another chat with Intel people ...
G41 chipset actually supports sending Audio data over DVI/HDMI. However the motherboard lacks controller that forces the sound card to send its data to the chipset. Thus G41 just blindly sends nothingness over DVI/HDMI. TV thinks there's actually Audio Data on the channel and plays it ... In reality, there's nothing there and thus sound does not work.
Concerning older GMA 950 chipset ...
The Express chipset does not have a native HDMI support and does not care about Audio and only sends Video signal over DVI/HDMI. Since there's no Audio data over HDMI, TV automatically looks for an Audio input on any supported channel (in my case it's RGB/DVI IN) and if there's something there, it plays it.
Which is why my MacBook is able to take advantage using this setup and G41 based PC is not.
I can't even get a cheap HDMI card due to lack of PCI-E ... the only PCI slot is occupied as well. Oh well, no luck to be had.
Hope this provides some answers/closure to people Googling this stuff.
P.S. Anyone know how to hack G41 chipset and tell it to STFU with its Audio portion?