Unfortunately I think this is more a hardware limitation.
You can't separate the Integrated Speakers from anything connected to the audio jack ( or any jack - you can configure them ).
I was able to split the sound using Bluetooth speakers + Headphones
Had to do some "magic" -> Virtual Audio Cable, that records sounds from "Speaker" device ( integrated speakers and anything in the audio jack, are show as Speakers device in Sound menu in Control Panel ), Bluetooth was Default audio device, then using SAR or Audio Router or anything like that to select what program/app sound to go from where.
The last part with the Audio Router is only if the program/app doesn't have option to choose what Audio Playback Device to use.
If anyone stumbles upon something more useful or have any other idea i'w be happy to hear 🙂
Thanks again and Happy Holidays !