I've tested the games on 8.10 with an ac-97 and had no problems. It's probably not a 9.04 problem, rather a tweak of the configurations or change to some driver or setting, unfortunately I'm not that Linux oriented so I can't provide much specific help.
I had the same problem after upgrading from 8.something to Ubuntu 9.04. The sound was stuttering horribly, even though everything else in Ubuntu seemed to work fine, audio-wise.
After some searching I think it's partially due to the "new" audio system Pulseaudio, which still seems to have lots of issues.
I've been googling around and it seems like most people do have working sound with penumbra and 9.04. I'm just an exception. :-(
Since my sound is totally fine, about once every 4:th time I start the game, I just restart the game a few times, until the sound works before I start playing. I guess it will work perfectly as soon as most of the glitches in pulseaudio has been worked out.
I've only just started playing but the game seems promising though and I don't regret paying 5$ for the whole collection! :-D