I don't understand what you were expecting to happen otherwise? This makes sense to me--if you want two channel analog output everything is going to have to be downmixed to 2ch, including digital outputs.
Did you look at other threads regarding the same "problem"?
It's not exactly an OS issue as different audio devices can certainly be output to at the same time. The thing is with Vista and 7, each output type is treated as a different/separate audio device. So your application would have to support outputting to two outputs simultaneously which I don't think I've seen an app do (though I imagine DJ progs might be able to?).
It is definitely possible though to output more than one at once. For example set your default device to "Speakers" (analog output) and then playback a file like an MP3 with WMP. The use another audio player (like WinAmp, MediaMonkey, etc.) to output to a specific output (like HDMI) and playback the same file, at the same time. You'll see both outputs will work from each player. The problem is getting one [software] player that will output to two or more devices at once, from the same playback material.
To do what you want it would additionally have to downmix analog output to the "Speakers" device while maintaining the original or bitstream signal for the HDMI output. So now you've got a second problem. Not only are you going to have a hard time finding the first requirement, the second one is another thing to worry about.
I mean the PS3 can do this now, but even it couldn't originally (started with fw 3.00 or something).