Hi esperdiv, great to see another Alpha player is out there, there are more and more of us :)
To change the audio device that EigenD plays through, you need to open the mixer page on the Alpha itself. To do this, press and hold the main mode key (the bottom left key on the whole keyboard) and then go into split 1 by pressing the top button in the column that lights up above the mode key (not the one right at the very top, just at the top of the small group that appears near the main mode key.). Let go of all the keys and that puts you in split 1.
Now press and hold the keygroup mode key for keygroup 1, which is in the left hand column, 1 row up from the bottom, so one key higher up than the main mode key. You should see the instrument selection lights for keygroup 1, but higher up near the top of the keyboard are the advanced controls. These controls are described on page 13 of the Alpha reference guide
About 1/3rd of the way down from the top there's a little L shape of 3 lit up keys, press the uppermost leftmost one of those 3 (which is key number 3 on page 13 above), and release it and the keygroup mode key and this is the mixer page.
It should look like 3 big groups of orange lights and some more multicoloured lights near the bottom. The mixer is on page 15 of the ref guide. Now make sure the browser is open, and press the key in the left hand column, six rows up from the bottom (this is the key labelled #1 on page 15, audio device browse). The browser should then list the soundcards on your machine, and you can pick one with the mouse or with the scroll keys on the alpha.
For changing samplers and audio units etc, you use the advanced controls again, so in split 1 as before, press and hold the keygroup mode key (left hand column, 1 up from bottom), then look at the top of the keyboard. The advanced controls are on page 13 of the reference guide, press the one for the sampler or AU you want change (they are laid out in the same pattern as the instrument selection keys, just higher up the keyboard). Let go of the keygroup mode key, and for each instrument there is a slightly different page of keys, but all of them should have a browse key in column one, 6 rows up (in the same place as the audio device browse in the mixer). Pressing this key while the brower is open lets you pick the sampler or AU to go in the slot you are editing.
Hope this helps, any other questions just reply here.