When you're setting up the Backup Device Switch, you can do it for each virtual audio channel one by one. But if you find a setting you really like and want to keep using it, it's easier to pick the "use the same device on all output channels" option. That way, your backup device switch and its order will apply to all channels, saving you time and hassle!
Just a heads-up: when you're setting up the Backup Device Switch, only the devices that are currently active show up. If you have something unplugged but still want to set it up later, make sure to change.