When you open Minecraft, than change the output device for audio, the Minecraft audio plays thru the previous output and not the one you chose.
If you reload Minecraft, it switches to whatever you have currently.
If you play audio from something else (like Google Chrome) it plays thru whatever you have currently, you can even play two deferent audio devices at the same time.
Example:
You open Minecraft and you are playing, you want to change your audio from your speakers to your headset, but the audio still plays thru the speakers even though windows says it isn't.