I think I nailed it!
Under Tools - Preferences - Audio System I saw that the default Audio Device was hw:0
I fired up this command (sorry, it's in Italian):
$ aplay -l
**** Lista di PLAYBACK dispositivi hardware ****
scheda 0: PCH [HDA Intel PCH], dispositivo 0: ALC887-VD Analog [ALC887-VD Analog]
Sottoperiferiche: 1/1
Sottoperiferica #0: subdevice #0
scheda 0: PCH [HDA Intel PCH], dispositivo 1: ALC887-VD Digital [ALC887-VD Digital]
Sottoperiferiche: 0/1
Sottoperiferica #0: subdevice #0
scheda 2: NVidia [HDA NVidia], dispositivo 3: HDMI 0 [HDMI 0]
Sottoperiferiche: 1/1
Sottoperiferica #0: subdevice #0
scheda 2: NVidia [HDA NVidia], dispositivo 7: HDMI 1 [HDMI 1]
Sottoperiferiche: 1/1
Sottoperiferica #0: subdevice #0
scheda 2: NVidia [HDA NVidia], dispositivo 8: HDMI 2 [HDMI 2]
Sottoperiferiche: 1/1
Sottoperiferica #0: subdevice #0
which tells me that HDMI 0 is device 3. So I changed the upper setting to hw:3 and now the output is via HDMI to my monitor.
Roberto