Yesterday night I found the source of the problem. Even though I'm not on Leopard yet, there is a bug in the software that prevents sound to be "activated" as other software (namely USBVision & VisualFX) have sound enabled. This rules out the Dazzle having a problem.
Searching through Google pointed to me to an article on Apple discussion where the dude said he check the Troubleshooting section of Pinnnaclesys.com and found the answer. As wise as he is, he did not say what it was
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So I looked and searched through the pinnaclesys.com help and found this article : http://discussions.apple.com/thread.jspa?messageID=9018568#9018568
So basically, even if you are not on Leopard, get the Video Capture for Mac patch for Leopard (available here).