Same thing happens to me with my Mac mini. The "bong" sound does not respect my volume settings, and almost always comes from the internal speakers. The weird thing is the "almost" part; every now and then it WILL come through my headphones. Not sure why.
The other strange thing is that my old G3 iMac DID respect my software volume settings which is strange because that's a user-wide setting, not system-wide (IINM). It also always came through the headphones, not the internal speakers.
Why are new machines different?