And I'll repeat, This issue is common and it is DIFFERENT on each system.
It really seems to be up to how the ASIO drivers "share" if you set that option.
I use my interface exclusivly because I do not ever playback anything but my studio music on my DAW.
If your DAW is not exclusivly a DAW but used for "do all" computer stuff like surfing etc then the on board option might be the best.
Me I need to hear all music playback though my studio monitors.
I disable windows sounds and they seem to stay disabled unless I change a theme.