If you choose to open videos inside the player, such as :
Sound should play through the JRiver Engine, applying dsp effects.
When prompted (as shown in the image above) if you choose to open the webpage instead sound will play through the default sound device only.
Unfortunately with JRiver 18, I've found most of the time you are not asked which method you prefer and defaults to displaying the webpage, using the default sound device.
Since upgrading to JRiver 19, latest beta, up until now I've been asked every time which method I prefer and videos play using Dsp.