Tested this out.

On Windows:
Both devices not visible in lspci. When you then start a game for example, the
NVIDIA VGA device becomes visible. The audio device not.

Now if you plugin a HDMI cable, both devices (VGA & Audio) becomes visible.

If we now remove the HDMI cable, both devices stay there for a while, and then
get deactivated together.

On Linux:
If we boot with HDMI cable in, same issue.

Now if I do the pci remove/rescan without HDMI cable, same result.
The Audio device becomes visible, even without having a HDMI cable in!