I ran into the same issue with videos - the converted file's sound played fine on the desktop but not the Axim.
My solution was to downgrade to the previous version found here:
http://www.microsoft.com/windows/windowsme...M7/encoder.aspx
It's not a perfect solution but since the only reason I wanted the encoder was to convert a video, it did the trick.
I haven't come across any reasons as to why sound is an issue in Encoder 9