From what I understand, Windows can only use one sound device at a time... so basically even if you have two sound devices (onboard sound vs. USB headset), windows will not allow you to divert one type of sound through the speakers, and another through the headset.. even IF the game supported it (which it doesn't). Now.. non USB headsets (that plug into the headphone jack) use the existing sound card.. it just redirects the sound to the headphones instead of to the speakers, so in that case you still only have one sound device.
USB headsets use their own sound device, so when you plug it in, Windows loads the drivers for the USB and 'disables' the drivers for the onboard sound.