Correct. You can solve that problem using the included Audio and MIDI configuration utility (located in Applications/Utilities) and creating a multiple-output peripheral.
View attachment 339659
Create a new multiple-output peripheral using the + button on the lower left corner. Check both the Soundflower (2ch) and Integrated Output checkboxes and select the newly made peripheral in the Sound preference pane. You can't adjust the volume, though, but I think it keeps the one you used when creating the peripheral.
EDIT: I think you can adjust the volume if you choose Integrated Output as the master output.