The alarm sound is played through the speakers AND the headset (if connected). Makes some sense to me, if you don't want to miss an alarm when you have your headset plugged in, but are not wearing it. On the other hand it can be practical in a public place, you won't disturb other people if you where listening music using the headset anyway. It is certainly not something in the clock-ui, alarmd is my guess. Never heard that this can be customized.