Hey. I can't say why the audio wouldn't work when you put it through the modulator because I've never done that. If you let me know which modulator you are using, then I can look into that component. One thing that comes to mind is to make sure that the PC is set up to output analog audio. For a lot of PCs, if you have it set to output a digital audio signal, it won't output any analog. There should be an option or checkbox on the soundcard control panel for that.
FYI, if you connect the audio directly to the TV but use the modulator for the video, then you are using the coax input on the TV (the screw-on type connector like you would use for cable TV) for video, but you are using a different input for audio. On every TV that I've used, the coax input and the A/V inputs (RCA-type connectors) are considered different inputs and can't be combined. Therefore, you can't watch video over the coax input while listening to audio over the RCA auxilary input. Hence, you need to have audio and video going into the same input on the TV.