Well I was just about to post a similar question, but did a search first and found that I am not the only one, I am in fact #8.
I have found a workaround that is a bit kludgy but seems to work okay. If you change the default device, start iTunes, then change the default device back, iTunes seems to use the 'other' default device as long as it keeps running, while all the system sounds go to the current device.
All you need to do then is leave your PC running 24x7 and just minimize iTunes instead of exiting. Not very "Green" or environmentally friendly, but Hey, Apple never were (hint hint Apple people, are you reading this)(Note to self: Send email to Greenpeace entitled "Apple encourages energy waste due to UI limitations).
Perhaps I will look into writing a script to automate this process each time you start iTunes, but it seems pretty poor that this limitation exists in the first place. If I get it working I will post it back here.
THO