Set default audio device for RDP connection

I have two computers (client and server), which are connected by RDP (mstsc.exe). The client computer has two audio devices - speakers and headphones - and only one of them can be default audio device. The problem is RDP connection always use default audio device for redirecting sound from remote server to client. How to force mstsc.exe to use non-default audio device, while all other programs will remain unchanged?

Windows 10 allows you to set audio options on a per-app basis using this process:

1. Launch your RDP session
2. Go to Settings
3. Select the System category
4. Choose Sound from the left menu
5. Click App volume and device preferences at the bottom of the window
6. Choose the desired output device for the Remote Desktop app