Your USB headset also has a built-in sound card. As far as I know, you cannot have 2 soundcards activated simultaneously.
If one sound card has more than one output, then yes...but the fact that you're using a USB headset, you're essentially trying to use 2 sound cards at the same time.
If you don't want to make so many clicks to change your playback device, there are some programs out there that do it in 2 clicks.
i.e.
http://www.toflo.de/Downloads/Tools/Soundcard-Switcher/