I also have Skylake laptop (ASUS GL502VM) with a GTX 1060 which is always in Discrete mode (I can't use it in hybrid mode at all) and I have the same or similar problem (HDMI video: Ok / HDMI audio: Doesn't work). In my case "lspci -H1" doesn't even list the NVIDIA Audio device.
I also have Skylake laptop (ASUS GL502VM) with a GTX 1060 which is always in Discrete mode (I can't use it in hybrid mode at all) and I have the same or similar problem (HDMI video: Ok / HDMI audio: Doesn't work). In my case "lspci -H1" doesn't even list the NVIDIA Audio device.
Any idea of how to fix this?