This can be done with just the System Preferences.
When implementing features in Sound Control we override the system's behavior as little as possible so it doesn't become too confusing.
To achieve this, go into System Preferences -> Sound -> Sound Effects and change "Play sound effects through:" to "Selected sound output device".
This ensures that the default output device and the sound effects device are the same. Once this is set, when Sound Control changes your output device your sound effects will also play through the device chosen by Sound Control.