If I change the primary output sound device under Windows, Arma3 does not recognize the current setting. First I have to restart the application or it will stay at the previously set device and play all sounds via that device.
This is not necessary per se, there are APIs to observe these changes and use the current one in your application. You could handle device event notifications, e.g. the change of the primary output device.

See: http://msdn.microsoft.com/en-us/library/windows/desktop/dd371418(v=vs.85).aspx
And: http://msdn.microsoft.com/en-us/library/windows/desktop/dd370810(v=vs.85).aspx

Would be great to see this implemented in Arma 3 so that we do not have to restart the application every time we forgot to change our primary sound output device to our headset, for example.

Being able to just tab out, changing the primary output device and tabbing back in to Arma would be extremely convenient! Thanks.

Best regards,
Clemens