Hi Lutz,
VMware does not support any audio for Mac OS X guests at the time (Mar 2013).
We've supported HD Audio for Mac OS X guests for a while now. (I don't remember which release it was added.) If audio isn't working, your VM might have an old (non-HDAudio) sound device, in which case removing it from VM Settings and re-adding it should give you a new HD Audio sound device, and that should get sound working.
It seems you have found a workaround to get screen capture working, but just for interest's sake, here's what I usually do: Move the mouse cursor out of the Mac OS 10.6 guest window, press Cmd+Shift+4 (so we're using the host's rectangular-region-capture functionality), then drag to select the region of the guest's window to capture.
Cheers,
--
Darius