From my understanding there is an issue of the system not automatically updating the sound output when you select it in game. In order for the change to take effect, you have to quit the game and then relaunch it. This is a known issue and we will work on getting it fixed for a future patch.
It is possible there is a separate issue with the Launcher not playing sound. I can forward necessary information on to that team so they can track the issue on their end.