The Y/Pb/Pr connections on component cables do not carry sound. Most Wii component cables I've seen include the separate audio L/R cable connections as well.
You can try a different brand of Wii component cables. You should also try hooking the L/R from the Wii component cables to a known good audio L/R input on your TV.
You can also hook some other device other than your TV to the audio output of the Wii cable to make sure it's working and rule out the TV entirely. You don't need anything hooked up to the video to test this, as you should be able to hear the Wii startup sound.