It's a bug...
Win 7 Home Premium.
Found out this: when you select a picture as screen background, then you will have the startup sound.
But, when you select a fixed color for the background, then there is no sound... Now even more strange in this case: press the desktop button (at the far right) and you'll have the sound!
As i I like a fixed background, I had to create a color JPG, which I use as a background image.
I would like to report this to MS, but I've not found how. It's really a mistery how to report bugs to them.
Hope this helps you guys.