The same setting is also available through the Sound pane in the System Preferences.
For those thinking that it is as simple as picking the audio from the output list - that is the desired behavior. When you select your monitor as the output, the selector successfully switches, but your audio output is lost in limbo, or continues to play through the built-in-speakers of your laptop.
The workaround I've been using is to disconnect the audio cable, wait a second or two, and reconnect the audio cable. After that, I can send audio to my receiver and video to the HDMI.
also don't know if my mbp retina hardware or software, but sometimes my display blinks, it also happen with my old mbp (2010) but was not till updated to mountain lion, so maybe is a software issue too? (din't check it, will wait to read some feedback about the update)
Skype issue might just be Skype configuration; they may have their own settings for which device to use, which tends to get out of sync with OS configuration.
Ever since Mavericks, plugging in HDMI would randomly send audio either to the display or through the laptop, shuffling whenever the laptop was opened/closed, with no ability to switch it in the OS. This meant using it as a desktop machine was always preceded by a minute of rage-filled un-plugging/re-plugging until it worked.
Observed with every Apple laptop I've owned since (two Airs and a Retina Pro) and two different displays (one ViewSonic, one Dell), so not a hardware issue. Don't understand how this was broken for so long or why I've never seen anyone complain about it.
edit: came up 3 times below: changing the output device in the OS does not work. it would always either result in no output at all, or continuing to output to the laptop (can't remember which, might be a mix of both).