Graphil,
I noticed in the last windows update, the Output in Windows will be set to VB Virtual Audio Cable, but it comes out the default anyway. If you go back to the mixer, and change the Fantasy Player to Default and back to VB Virtual Audio cable it will come out as it should. You have to do this unfortunately every time I think you launch the player, hopefully in a subsequent Windows patch they will fix this! :-)
Hope this helps! I had to do it just this past weekend during one of my games.