The SD that came with the PI400 works with the HDMI hardware audio.

I used
Code:
Kali Linux RaspberryPi 2, 3, 4 and 400 (img.xz) 	Torrent 	2021.1 	2.1G 	ead2ebf6638a8f454b9259a5a395d48420888c955f8f3b0147808da7cc0a2b07
There is no option for HDMI in the KALI audio and there is no HEADPHONE as configured.

I see this on PI 400 KIT with Kali 2021.1

Code:
kali@kali400:~$ cat /etc/os-release 
PRETTY_NAME="Kali GNU/Linux Rolling"
NAME="Kali GNU/Linux"
ID=kali
VERSION="2021.1"kali@kali400:~$ cat /etc/os-release 
PRETTY_NAME="Kali GNU/Linux Rolling"
NAME="Kali GNU/Linux"
ID=kali
VERSION="2021.1"
VERSION_ID="2021.1"
VERSION_CODENAME="kali-rolling"
ID_LIKE=debian
ANSI_COLOR="1;31"
HOME_URL="https://www.kali.org/"
SUPPORT_URL="https://forums.kali.org/"
BUG_REPORT_URL="https://bugs.kali.org/"

VERSION_ID="2021.1"
VERSION_CODENAME="kali-rolling"
ID_LIKE=debian
ANSI_COLOR="1;31"
HOME_URL="https://www.kali.org/"
SUPPORT_URL="https://forums.kali.org/"
BUG_REPORT_URL="https://bugs.kali.org/"
Code:
kali@kali400:~$ amixer
Simple mixer control 'Master',0
  Capabilities: pvolume pswitch pswitch-joined
  Playback channels: Front Left - Front Right
  Limits: Playback 0 - 65536
  Mono:
  Front Left: Playback 65536 [100%] [on]
  Front Right: Playback 65536 [100%] [on]
Simple mixer control 'Capture',0
  Capabilities: cvolume cswitch cswitch-joined
  Capture channels: Front Left - Front Right
  Limits: Capture 0 - 65536
  Front Left: Capture 1 [0%] [on]
  Front Right: Capture 1 [0%] [on]

Code:
kali@kali400:~$ aplay -L
null
    Discard all samples (playback) or generate zero samples (capture)
default
    Playback/recording through the PulseAudio sound server
lavrate
    Rate Converter Plugin Using Libav/FFmpeg Library
samplerate
    Rate Converter Plugin Using Samplerate Library
speexrate                                                                                                                                                                                                    
    Rate Converter Plugin Using Speex Resampler                                                                                                                                                              
jack                                                                                                                                                                                                         
    JACK Audio Connection Kit
oss
    Open Sound System
pulse
    PulseAudio Sound Server
upmix
    Plugin for channel upmix (4,6,8)
vdownmix
    Plugin for channel downmix (stereo) with a simple spacialization
hw:CARD=ALSA,DEV=0
    bcm2835 ALSA, bcm2835 ALSA
    Direct hardware device without any conversions
hw:CARD=ALSA,DEV=1
    bcm2835 ALSA, bcm2835 IEC958/HDMI
    Direct hardware device without any conversions
hw:CARD=ALSA,DEV=2
    bcm2835 ALSA, bcm2835 IEC958/HDMI1
    Direct hardware device without any conversions
plughw:CARD=ALSA,DEV=0
    bcm2835 ALSA, bcm2835 ALSA
    Hardware device with all software conversions
plughw:CARD=ALSA,DEV=1
    bcm2835 ALSA, bcm2835 IEC958/HDMI
    Hardware device with all software conversions
plughw:CARD=ALSA,DEV=2
    bcm2835 ALSA, bcm2835 IEC958/HDMI1
    Hardware device with all software conversions
sysdefault:CARD=ALSA
    bcm2835 ALSA, bcm2835 ALSA
    Default Audio Device
dmix:CARD=ALSA,DEV=0
    bcm2835 ALSA, bcm2835 ALSA
    Direct sample mixing device
dmix:CARD=ALSA,DEV=1
    bcm2835 ALSA, bcm2835 IEC958/HDMI
    Direct sample mixing device
dmix:CARD=ALSA,DEV=2
    bcm2835 ALSA, bcm2835 IEC958/HDMI1
    Direct sample mixing device
usbstream:CARD=ALSA
    bcm2835 ALSA
    USB Stream Output
kali@kali400:~$
Code:
kali@kali400:~$ aplay -l
**** List of PLAYBACK Hardware Devices ****
card 0: ALSA [bcm2835 ALSA], device 0: bcm2835 ALSA [bcm2835 ALSA]
  Subdevices: 7/7
  Subdevice #0: subdevice #0
  Subdevice #1: subdevice #1
  Subdevice #2: subdevice #2
  Subdevice #3: subdevice #3
  Subdevice #4: subdevice #4
  Subdevice #5: subdevice #5
  Subdevice #6: subdevice #6
card 0: ALSA [bcm2835 ALSA], device 1: bcm2835 IEC958/HDMI [bcm2835 IEC958/HDMI]
  Subdevices: 1/1
  Subdevice #0: subdevice #0
card 0: ALSA [bcm2835 ALSA], device 2: bcm2835 IEC958/HDMI1 [bcm2835 IEC958/HDMI1]
  Subdevices: 1/1
  Subdevice #0: subdevice #0