No I did not, but what I don't understand then, how does construct knows where to find the sound files when I place a copy at my desktop?
It depends on how you tell Construct to find them. If you tell it to play a sound located in "C:/folderwithmusicinit/music.ogg" then it will look for that specific folder, no matter what computer you put it in, and chances are that that folder and its content does not exist on any other computer than yours. This is why we have installers.
If you use the "AppPath & [folder]" route then Construct will look for the
corresponding folder/file from wherever you place your exe. So if you have an exe that plays a sound using AppPath but place the exe somewhere else without the sound file the sound will not play.
And how to make a comercial exe? So construct don't extract the sound files in the exe?
Not sure I understand what you mean here. If you add your sounds as resources then they will be compiled into the exe. This will make your exe bigger (not sure if it causes performance differenses) and you won't have to keep external files around.
I can't release my game if I can't put my sound files at a safe locations because of loyalty rights :
I assume you mean royalty rights. There's really no good way to keep files safe. If someone wants to steal your stuff, they will. Compiling the sounds into the exe will make it more difficult yes, so go with that.
Edit: Maybe there's some funky encryption thing you could do, but I don't really know. Pirates seem to be able to crack through whatever blockade devs seem to think up. That's what I wanted to point to, not to say it's impossible to do a effective encryption.
Edit2: Took out some unnecessary stuff.