After a lot of searching and going through nearly every forum I have my sound via HDMI. And my solution was very simple.
But before I start, I will give an overview of my system:
Sound settings (System -> Preferences -> Sound) do not interfere the XBMC sound output. XBMC is using its own sound output.
The only thing what I was not aware off, was a setting in alsamixer.
Start a terminal and do the following:
$ sudo alsamixer
To set the sound settings to HDMI output you have to do the following:
Go to menu: System -> System -> Audio output
Press ‘s’ and exit XBMC
Startup XBMC
Remark! XBMC sound settings are not directly used by XBMC. You have to restart XBMC before the settings will be used!
Now you should have sound on your TV via HDMI.