It seems, that audio comment problem appears when I open an old PTE project, made with PTE 7 and start to modify it in PTE 9. Initially the audio comment was not read from the PTE 7 project at all and when I added manually the audio comment (while editing in v9), it was played only in Mini player and not in preview (and exe). Did not help, If I save (overwrite) the old PTE 7 file as version 9 file.
If I make the PTE show from the scratch, the audio comment works.
So it seems that some "old code" from v7 is not transferred (translated) info new version. OK, I can redo (edit) these small features manually, no big deal. One cannot expect full backward compatibility of everything. However, it seems, that some problem code from v7 still remains, when I save the project as a v9 file and that causes the mess I described in the first post. That makes impossible to "translate" v7 projects with audio comments into v9.