If I change mine to built in and apply, actually my audio works whichever I select (although I use Built In)
Once I close system settings it reverts back to the HDMI, which I am not using at all.
Funny thing here. that it works whatever is selected.
This same reverting back happens in Kubuntu 14.04 too but there audio test sounds don’t work when it’s set to HDMI, but all other playback is fine.
Also in the Device Preference section I was expecting to see the choice of the two devices (Built in and HDMI) to set in order of pref. Instead I see 3 choices: