I take it you never got an answer to this? Did you work it out?
You see I have a similar problem, except my sound does go to the host pc speaker and I want it to go to the Headphones instead. Headphones are plugged in and working for everything else except this one VM
I think my complication is that I am running VMWare Workstation (works fine on the Headphones) but the VM is running on an ESXi Server. I connect my VMWorkstation to the ESXi server and connect to the VM through the Workstation Console.
Was hoping to find some answers on the Forums but your is the only similar post I have found
I suppose my next option is to see what sound I get via an RDP Session