It depends upon the video card. The card has to select one of the multiple outputs to send the primary video signal. Evidently your VGA output is the primary, at least before Windows gets loaded (as would be during POST). Once Windows is loaded then Windows can be told which will be the "primary" output.
See if there are any switch or jumper settings on your video hardware to force the determination of primary video output during initial power-up.
See if there are any switch or jumper settings on your video hardware to force the determination of primary video output during initial power-up.