It is just that Windows is doing its device autodiscovery all the time and forgets your asio device and removes it from the device lists when you unplug it.
If MC then tries to play to the zone, where the asio device was configured, it cannot find it any more. MC then reverts to the default windows sound device and forgets all about the asio device.
You could try to have two zones, one configured with the default windows onboard sound device and one zone configured with your asio sound device.
Play to both zones to check everything is ok. Then select the default onboard zone and unplug the asio device and play again. And last plug your asio device again and select the zone. Does it play without reconfiguring ?