I was wondering about this too. Whatever device you want to use for the game sound needs to be plugged in before the client starts because it wont switch once the game is active (though the system does). For example, if I want to use my headphones I need to make sure those are plugged in before clicking "Play" otherwise the sounds come from the speakers even if I plug the headphones in later. If the headphones were plugged in before the game started unplugging them simply leaves me without game sound at all instead of defaulting the game back to the speakers.

It's not gamebreaking, but it's incredibly annoying.