There could be a couple reasons. Check your audio settings on your MacBook. Make sure the correct audio is selected. 
Step1: Go into System Preferences
Step2: Click Sound
Step3: Select the HDMI source as opposed to the Internal Speakers

If your MacBook is model before 2010, it might not output audio over Mini DisplayPort.

No. This adapter converts the signal only from Mini Displayport to HDMI/VGA.

To set up completely, you have to adjust setting in 'Displays' and 'Audio'.

To set the display:
1.With your display monitor connected to your Mac, open Apple -> System Preferences.
2.Select 'Displays' with its big blue screen icon
3. Go under 'Arrangement' section
4. Check the Mirror Displays checkbox

To set audio:
1.With your display monitor connected to your Mac, open Apple -> System Preferences.
2. Select 'Sound' with a speaker icon
3. Go under 'Select a device for sound output' section to see if you see your display monitor as an output
4. Choose the monitor instead of built-in speaker as your audio outlet

To set up completely, you have to adjust setting in 'Screen' and 'Audio'.
To set screen:
1. Right-click any empty area of your desktop, and then click Screen resolution
2. Click the multiple displays drop-down list, and then select 'Duplicate these displays'.
3. If the display monitor is not listed, click 'Detect'.

To set audio:
1. Open Control Panel
2. Select 'Hardware and Sound' - 'Sound'
3. Under the 'Playback' tab, select the proper device as default device. 
4. Click "OK". Justify the volume at the down-right corner if needed.

Only HDMI port could transmit audio and video, VGA interface could only transfer video