Yep, I have done all that. In fact this is what is happening. I can get sound only if I plug in speakers/earphones to the soundcard which is connected to the motherboard (not my main, external card), meaning... I need two sets of speakers.

So, what I think is happening here is that the sound signal is sent only to the on-board soundcard outputs and not to the main soundcard outputs. I repeat, this is not an issue with midi playback from programs like Finale or Sibelius, so these programs must do something differently.