Sound mixer settings depend on connected audio devices. The Jetson itself does not ship with any devices (capabilities do not count as devices), so it is not possible for nVidia to save a default preference not knowing what the device is. HDMI could have a pair of stereo speakers, but not all HDMI monitors have sound, and when they do, they may support different bit rates…so they can’t assume settings even for that.
No hardware issue exists, that message is just part of the logic that shows when the system boots up and tries to find a configuration file and the file is missing; the system does not care that the file is associated with devices which have never been connected, the standard file finding mechanism simply reports it didn’t find the file without caring about the reason. Even if you have devices connected there will be no saved file unless you’ve manually saved mixer settings.