If I set my sound effects to come out "Selected sound output device" via the sound Preference panel while using my bluetooth headphones, everything works as expected - both regular sound (like music or video sounds) and sound effects (like sent mail "swoosh" effects) come out my headphones. If I then go up to the volume control icon on the top right of the toolbar, and set the Output Device to Internal Speakers, then all the sounds come out of my laptop's speakers. But then if I set the Output Device back to my bluetooth headphones, then it also "magically" resets my "Play sound effects through:" setting back to "Internal Speakers" - so that now Music and Video sounds come out of my headphones, but sound effects come out of the laptop speakers themselves. This seems broken - changing my output device shouldn't change other settings. Does this do this for other people? Is there something strange I'm doing to cause this odd side effect?
Update (due to some confusion highlighted by the first attempted answer) - I did not disconnect my headphones during this experiment - I just toggled the Output Device from Headphones to Internal Speakers and back to Headphones. I would assume that most people would want their "Play sound effects through" setting to be "Selected sound output device" all the time - since you'd want those sounds to come out of the same place sounds from the Music, TV or other audio/video apps to come from. It was disconcerting to me the first time I was listening to music through my headphones and heard my laptop make noises (e.g. the mail sent "swoosh" sound). So while I can imagine someone wanting to manually decouple the sound effects device from the general sound device, I would be highly surprised that people would want it to be automatically decoupled every time they put headphones in or out.