I'm very curious, is there a built-in way or application to switch the alarm sound from the mobile speakers to headphones(in my case to a 2.1 speaker through a 3.5 mm audio jack plug)? I tested it, and when i set an alarm, plug in the audio jack, it starts the alarm on the mobiles speakers instead of my 2.1.
I don't have a 5800, but on both my N8 and my N95 it is possible to get the alarm to sound through headphones.
It does it when the music player is running (either playing music, paused, or just running after it has finished playing an album) and sounds the alarm both through the phone loudspeaker as normal and the headphones. It is also independant of the volume setting as it still sounds if the music volume is set to 0.