Old thread I know, but I am researching this issue, and I thought I would share what I found.
As near as I can tell, this feature has been purposefully disabled because of DRM nonsense. One way that I have found to utilize multiple sound outputs (I have only one sound card, but it lists the HDMI connection as a separate device) is to set my speaker default to HDMI, then start Vista MCE, then set the speaker default to desktop speakers. This causes only the MCE to pipe out to the HDMI, and everything else to pipe through speakers. However, MCE reverts back to default if the PC goes into hibernate or sleep.
If anyone knows how to create a script to set speakers, restart MCE and set speakers again that only runs after sleep mode, do tell. Alternatively, anyone who knows how to lock down the API before sleep mode occurs cold write a hndy program and save us all the trouble.