It was the inability to disable it that was my problem. I preferred how it was on PS3. The first time I noticed it was at about 2 in the morning. I took off my headphones and realised the sound was coming out my speakers too, which kind of defeated the point of me wearing headphones. Luckily my speakers weren't turned up very loud or I'd have woken everyone up.
Yeah I know. No idea why Sony never decided to have an option to disable it.
Well you can always just mute your TV speakers at the same time, it's a minor inconvenience but not end of the world.