I believe is a windows thing and not the game itself.
I'm suprised, using WinXP I have no problem seting Windows/AH to play through the suround sound system (SoundMax HD Adudio) and at the same time have Skype play through my headset (HD Audio front headphone).
Would be grate to be able to set each sound element to where I want to hear it.
Engine, Guns, Wind, External noises, etc set to the "SoundMax HD Adudio".
Vox, Check Six, Base under attack, etc, set to the "HD Audio front headphone".