I've temporarily pulled audio device change polling because it was a cause of stuttering on devices with slow IO (USB sticks and hard drives). We are working on a solution to bring this back, but for the time being you will need to change game screens in order to have your audio device updated (menu -> song select etc.)
You can also just switch your audio device manually at the options menu should you have any issues.
You can also just switch your audio device manually at the options menu should you have any issues.