Some PGMusic features use the default Windows device (only).
So some manipulating may be involved as Pipeline noted.

Another one that does this is the animated Drum Window.

Often you can use Windows Sound Mixer and see which device is receiving signal that you are not hearing. Then it's a matter of figuring out how to route that signal to whatever end monitors you are using.
To get the Windows Sound Mixer, right-click the speaker icon in the lower right and select Playback Devices.

I do not work here, but the benefits are still awesome
Make your sound your own!