Audio problem with The Banner Saga

Strange problem. I'm trying to play the game on my MS Surface. Runs fine, but most of the audio is still coming out of the built in speakers, even when I have headphones plugged in! I checked and its only this program, nothing else. Did a google search and found nothing.

Any ideas? As I'm planning to play this while I'm on the train, I can't really have it blaring audio and I'd prefer not to play it silent.