Teddy,
Yep, ductwork is a big part of the acoustic design process... So, if you feel that you are getting a lot of sound transmission at the plenum boxes that connect to your rooms, because they are not insulated there are a couple of things you can do.
1. You can "Lag" the boxes. This is adding some massive material to the outside of the box to increase it's mass and therefore, it's STC. Lead sheeting is sometimes used but you can use drywall and attach it with coarse thread drywall screws and construction adheasive to the outside of the sheetmetal.
2. After lagging, insulate the plenum box with some duct insulation or foil backed R11 batt.
3. Ideally!! all studio duct work in "Lined with acoustic duct liner board not less than 1" thick" (from our mechanical specifications). Sometimes we use thicker but AT LEAST 1" duct liner is our min spec... This is better than outside insulation as it stops the sound from reverberating and bouncing around inside the duct and quiets machine and air noise to some degree.
But, given the existing situation at your place, I would do 1 and 2 above... see how much it helps and let us know.
FM