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Had this happen a couple times and I'm baffled. I am playing on a MS Surface (1st edition). Game plays fine, but it is sometimes playing the audio through the built in speakers rather than my headphones. When I load the game, its fine, they play through my headphones, but when there is an audio break (like going into a cutscene or a battle), sometimes it changes and the audio starts coming out of my speakers. The only way to get it back to the headphones is to exit and reload.

Any ideas?
I have the same issue with the Mac version.