How do I get VO to produce all sound on my Audigy SE instead of my onboard motherboard SC?

I went to System>Preferences>Sound and set everything to the CAO106 setting.

Am I doing something wrong?

Hmm. Not knowing much about Linux sound system, but knowing about VO's sound system, VO doesn't have a choice of sound output devices (except for voice chat, which does).
Is there some setting in ALSA itself that allows you to choose a default sound device?

You need to edit your .asoundrc file to set the default PCM output device.