Audio output through HDMI

Is there supposed to be a way to get audio to pass through HDMI out on capture cards with a headphone jack? I have this capture device and when I plug in the HDMI out put the video displays but no sound.

Do I need to get a capture device with no headphone jack?

Do you just mean trying a different hdmi cable? There's 2 3.5 mm audio ports on this device. One has a mic (for input I assume) and one has a headphone (for output). The issue is when no headphones are plugged in the audio doesn't seem to going to the HDMI Ouput.