I think the following is the case - though I may be wrong.
Windows 7 only likes having a single audio device active at any one time. Your two displays will each appear as separate audio devices - so you will have to select which one the audio comes from.
HOWEVER there is a suggestion that if you display clone, then the audio will also be cloned, so both displays will carry audio at the same time. HOWEVER this means the same video output on both displays (presumably one will be scaled if they aren't the same resolution)
When you run in Extended mode, rather than cloned mode, you can have different video on each display, but then you will only have one display with audio.
What are you trying to do?
Use your PC as a normal desktop when using the monitor, but then use it as an HTPC when feeding your TV, or do you want to do both at the same time.
If the former then you may well be able to write some scripts that automate switching between Monitor and HDTV audio outputs?