You can select the audio device to be used by GSX, by you cannot select *some* of the GSX sounds to be using an audio device and some others another one.
You can remove any sound made by GSX, by removing the associated .wav file in the fsdreamteam\gsx\sounds folder. Note that, some sounds played are FSX default, so they are not in the GSX sounds folder, but in the FSX sounds folder.