To all you folks saying that you can't imagine wanting things to come through both a headset and the speakers, I ask if you've ever tried wearing a headset for 12 hours a day. Unless you're willing to pay way more for a top-end headset than I can afford, it hurts. Especially if you wear glasses and the headset presses against the arms. The pain starts at about hour 3.
What real people do then is to take the headset off. But I still need it connected to the computer so that I can quickly answer a call when one comes in.
If the ringtones and other notifications only play through the headset (that I'm not wearing right now), then the call gets missed. Wearing the headset just to hear the ring defeats the purpose of taking the headset off to let my ears recover. So, yeah, an option to have notifications ring through differently than all other sounds makes a lot of sense still.