All right, I think I have fixed this. It's so simple I can't believe it is the solution, but I'm posting it just in case someone else has this problem. It seems that for some odd reason, milkytracker was getting a wrong audio output assigned and therefore I wasn't able to listen anything, because there weren't any speakers connected to that audio output.
Furthermore, that always happened - but only with milky!
If that happens to anybody, just open Pulse Audio Volume Control (in Applications -> Multimedia). Run milkytracker and make sure it shows up in the Playback tab. If it doesn't, milky isn't using the pulseaudio SDL driver and this shouldn't apply to you
Then click over the dropdown button (it's right to the shield icon/button), hover the mouse over "Move Stream...", and select a suitable output from the list that pops out. In my case it had autoselected a USB something which I don't use and that's why I couldn't hear anything, but SDL didn't give any error.
It seems this setting is stored from time to time, so you shouldn't need to repeat this step again.
Hope it's useful for anybody who encounters this issue