HDMI output should be fine and is fully capable of transmitting sound, assuming it is up to spec. There are even a few DVI connections capable of transmitting sound and video (using one now). I agree that it is largely a codec issue. Windows Media player 12 actually uses Media Foundation codecs and is completely discrete from any other installed codecs and players. There's not any way to get around this without doing some tweaking. There is an app to do this, but there are other options. Instead of Nero, why not consider something like the newer versions of K-Lite codec pack and Media Player Classic Home Cinema. I would highly recommend these, as that is what I've used for years. You may need to uninstall Nero prior to this, however, to ensure that there will be no conflicts. K-Lite also has an option to disable external codecs, as well as repair broken ones within the pack. It also allows for DXVA, which accelerates video decoding based on your graphics card, not your processor, easing the load and even allowing for multitasking (assuming the video meets requirements). Once you get used to MPC-HC, I think you'll find that you may like it better than any of the above. VLC works well, too, and is completely self-contained, which is a big advantage. It does not play the range of files that K-lite does, nor does it allow for external codecs, like CoreAVC. CPU usage will also be higher, so it is a somewhat of a tradeoff.
In any case, Nero is better for editing and disc burning utilities, not as a media player.