Are you certain that the Audio files for the movie were transfered to the phone? I had some old movies saved but for some reason the Audio files were missing and I didn't realize it until I tried to play the movies on the phone.
I have a similar problem -- picture but no sound on some video files I have downloaded. But only on my PB. It plays well on my PC. But when I copy the entire file to the PB, no sound. It must be an incompatible sound file integrated with the picture file. The video clip is an .avi file. Other .avi files work fine.