Set the default audio device to the monitor you want to use for applications that cannot change their sound source, and on the others pick the sound source you want at start-up.
I am lost as to why you would want to listen to anything on a monitors speakers, let alone a movie and music at the same time - ok, ok, I know we each have our 'things we like' but I don't think there is going to be an easy solution to what you want. You can also only have 1 default audio device, so you would have to manually set the other and this is the issue you are seeing. The fact that you are using audio from your graphics card makes it more difficult.
