After a little digging, I've come up with a fix. I've tried these virtual audio devices, setting those to default etc etc but none of those seemed to work for me (probably my inner noob coming out)

So basically you want to set your speakers as default (or whatever you use as default) then go to the recording tab in sound options and enable Stereo Mix (might be worth noting I have a MSI Z97 Gaming 5 with Realtek HD onboard sound) Right click on that and then properties, go to the listen tab, check "Listen to this device" and then from the drop down box choose your second device. It will play all audio simultaneously through both devices.... Not ideal but you can always turn the speakers down when you want to use the headset and programs like Teamspeak let you choose which audio out you want to use so that shouldnt be a problem.

But the request still stands... In game option please