My 1.42 GHz PPC Mac mini has always played the chime through the internal speakers, whether or not I had my external speakers turned on. Maybe it's just with recent Macs that this happens, I dunno.
Ok, maybe it's not EFI then, just the newest Macs (or perhaps the mini specifically?). The most recent non-intel Macs I've set up were first-gen G5 iMacs, and I never had occasion to test those with something plugged into the output jack.
And admittedly, I haven't tried starting my MBP with headphones plugged in, either, so for all I know it's the same, but I know an Intel mini did this, and my G5 tower (and anything earlier) definitely uses the externa speakers.