Even WMP should play sound thru windows default sound device. So, whatever you set es default, all sound should play thru it.
Very soon. with next windows full update you will be able to chose device thru speaker icon on taskbar. It's already there in insider version 14328.
Okay but what i wanted to do in the first place is to have Rocket League outputting sound to my Speakers while Media Player is outputting music to my headset