This is an illusion of sorts. When using the HDMI the Raspberry Pi forces all sound into the HDMI connector and if your monitor supported sound over the HDMI, you would get sound through your monitor.
 
But if you are using a VGA Adapter through the HDMI, you wont get sound because the adapter usually wont support it. Plugging in headphones or speakers through the audio jack will not fix this unless it is through the HDMI Adapter if it has an audio jack and your speaker is amplified.
 
The other option you have is to force Linux to change where the audio signal is going to. You have to do this as a Super User though the "sudo" command. Type:
 
sudo amixer cset numid=3 n
(where n is: 0 = Auto, 1 = Audio/Headphone Jack, 2 = HDMI)
 
and then reboot the machine.
 
If sound does not come of the audo/headphone jack, that means that the Pulse Audio option is on and switching it to the HDMI. To over ride and turn off Pulse Audio, type:
 
sudo amixer -c 0 cset numid=3 n
(where n is: 0 = Auto, 1 = Audio/Headphone Jack, 2 = HDMI)
 
and then reboot the machine.
 
Sound should come out of the audio/headphone jack at this point.

Go into the command line and try setting the HDMI Port as on with this value in the Sudo command above:
numid=3 2
(make n = 2 for HDMI)