How to permanently disable sound coming from my monitor?

Recently got a new monitor, BenQ GW2490E, connected to my computer with a DisplayPort cable. Whenever I load a game up, the sound comes out of the speakers on the monitor rather than the earphones I'm trying to use.

My sound output is set to the headphones, I've disabled the BenQ GW2490E sound device in the Sound settings, I've explicitly stated the game should use my headset as an output and I've went into the menu on the monitor itself, set the speaker to off and even put the volume to 0 for good measure but whenever I switch back to the game the sound comes out my monitor.

Can someone advise how I can get this damn thing to stop using the monitor speakers so I can play games while my kid sleeps?