Because HDMI is capable of carrying audio, so in case you plugged your system into a TV or receiver, it defaults to sending audio out of the HDMI port. If you wish to override this, while you have a display connected, go to Control Panel > Sound, right-click your regular speakers in the list, and click the "Set default" button. You may need to close and relaunch any open applications for them to start using your regular speakers at that point.
The panel does not offer the 'set default' option for the speakers.
I cannot screen capture the right click panel but it doesn't present the 'set default' option either.
^ In addition to the above, just fyi, you can capture a right-click menu by pressing PrtScr while the menu is displayed. That will put a full desktop screenshot on your clipboard, which you can then paste into something like MS Paint and crop as needed.
Ok, I get it now. When I plug in the monitor, the HDMI audio pops into the Sound panel and automatically becomes the default. I just need to set it back to the Speakers as default. When there is no monitor plugged in, the Speakers are the only audio device available and automatically are set as the default.