macOS 10.15.5 screwed up Sound Output device
This has been a feature of Mac OS X as far back as I can remember.

You can set the system alert sound device separately from the device the main audio output (for "regular audio", such as music, audio track of movies, non-system-alert-api application sound) uses.



It might be you only noticed this now because maybe your internal speakers weren't functional before the update, and you didn't notice because you didn't use them too often? But that's just a wild guess.

Might be relevant: the release notes for macOS Catalina 10.15.5 mentions:


  Addresses an issue for Mac computers with the Apple T2 Security Chip
  where internal speakers may not appear as a sound output device in
  Sound preferences


I think you might have been having the above mentioned issue, and the internal speakers weren't available as an output device,