TCL in openMSX
What are the limits of using TCL scripts in openMSX? Is everything in TCL available ?
Depending on your installation, everything is available (e.g. on Linux) or only the Tcl functionality in libtcl (without supporting scripts) is available. The later is in the case of an openMSX build done with 'make staticbindist', currently the case for Windows, macOS, Android.
For instance, can I use it to write a txt file with data?
Sure, that's already happening in many scripts that come with openMSX.
Show a message on the emulated MSX screen?
Yes, for example, use osd::display_message "hi there" as you can see in many existing scripts.
To play sounds with it (using the SDL API used in openMSX)?
No, the SDL API is not exposed to Tcl. SDL is considered an implementation detail from Tcl point of view.
And we have not made something available to produce sound.
Is there some tutorial / book / whatever about using TCL in openMSX?
No, but you can study all the scripts that come with openMSX. That's quite a large amount of examples.
And you can ask here or on IRC. We'll be glad to help 
And we have not made something available to produce sound.
Why not? 
I read a bit about commands, and it seems you can write to VDP registers but not to PSG registers?
Any other way that is not "typing" something like "SOUND Reg, Val"?
You will neee to use the low level debug command. debug write PSG\ regs a v where a is the address and v the value.
Thank you, it works!