I can't post screenshots here, but I have selected the specific devices not default device in the Player -> Playback Options -> Zone Manager dialog.
I have named my zones onboard, SB1, and SB2. When I choose to configure each zone I am given the options dialog. Output mode for each is Direct Sound. Output Mode Settings is (for onboard zone):
Device: SigmaTel Audio --- options in drop-down are Primary Sound Drive, SB Live! 24-Bit, SB Live! 24-Bit, SigmaTel Audio
Channels: Default Channels (recommended) --- options in drop-down are Default Channels (recommended), Left Front + Right Front, Center + Low Frequency, Left Rear + Right Rear, All Channels (sound card chooses), Do Not Specify Channels.
The other two zones are likewise set with the specific device chosen rather than Primary Sound Drive.
Is there somewhere else I should be configuring the output?