So, it's now October and still no video sound in XP... Takes long to prepare these patches, now doesn't it ;) (or to distribute them on GOG?).
Anyway, for those affected by the problem: while not an ideal solution, you can view the videos outside the game later, with sound. All the files in videos/ subdirectory in the installation dir are actually Matroska .mkv videos; you can just add .mkv to a file name temporarily and play it in a regular video player. Note, though, that the videos have 2 audio tracks: english and german, so you will need to use a video player that can select one.