I have bluetooth headphones I use on my macbook pro (2017 13", 10.15.6). I don't recall this problem happening before, but over the course of the past couple of weeks (very rough approx - clould be less, could be more) I've noticed that I often hear the system alert sounds through the internal speakers. For instance, right now, if I play music, it comes out of my headphones properly. But if I send an email, the email sent alert sound comes out of my internal speakers.
For what it is worth, if I manually switch the sound to internal speakers (while the bluetooth headphones are connected), all the sounds comes from internal speakers. And then if I switch it back to the bluetooth headphones, I am back where I started (with music coming from headphones, but email sent and calendar alert sounds coming from internal speakers).
Is this a configuration option (i.e. allowing special sounds to bypass the sound output settings), or is something wrong?