Question about Lenovo HDMI zu

It should be possible to configure the audio output channel on the notebook / PC, at least that is how I know it with various clients and devices. Therefore, simply adjust the sound playback settings on the client to "Line", "Headphones" or whatever else is connected. However, this does not work if "only" one HDMI cable was previously connected between the client and the output medium (TV? Amplifier? Beamer? ...). Accordingly, another (audio) cable must be connected, e.g. headphones via USB or jack 3.5mm, speakers via jack, optical, etc.

Yes, the sound is lost because VGA does not transport sound. You would have to send the sound out via another audio output.