Alan Wake is one of my favorite games of all time. And luckily it runs perfectly on Linux. Except when it doesn't want to play sound during cutscenes. And since cinematics are a frequent part of the game, it's good if we can fix it.
The solution is simple, with winetricks we need to install d3dx9_36. Normally this goes like this - in terminal - if you have a separate Wine prefix (the -q makes it automatic, no user input required):
WINEPREFIX=alan/wake/install/directory winetricks -q d3dx9_36
In Lutris or PlayOnLinux it's much simple. After installation the game will start with sound.
It's also interesting that according to Winehq, this has been fixed (as of March 2019), however it can still appear, and probably it appeared for me because I use the GOG version. The Lutris installation script doesn't have it either.