I use my laptop through a dock which is then connected to an HDMI monitor+speakers. When the laptop is set on the dock, it is not possible to switch from the laptop audio to HDMI audio through the applet. The only way to switch is through the system settings.
Interestingly, once one switches to HDMI audio through the system settings, it is possible to use the applet to switch back to the laptop speakers. But once again, it is impossible to re-select the HDMI audio out after this switch.
TLDR: Changing from laptop audio to HDMI audio not possible through the applet, but vice-versa is.