Sony TV won't use it's own speakers when Arc Ultra is connected

Sounds like you’re not interested in the way CEC works, and the way the Sonos Arc Ultra is designed to work. You might try turning off CEC, which Sony may call Bravia-Link, so that the Arc Ultra isn’t automatically recognized by your TV as a speaker. If that works, you should be able to use the TV’s internal speakers. Your other option is to remove the HDMI cable each time. 

Disable CEC (called BRAVIA Sync on Sony) when you do not wish to use the Arc Ultra.  Otherwise, CEC recognizes the soundbar and defaults to it, because it (like I and many others) doesn’t have a clue why anyone in their right mind would prefer the tiny, tinny TV speakers over a good soundbar. 

I have tried everything even plug the HDMI cable on the splitter not connected to ARC but it still change the sound output to external speacker instead of TV.

it was not happening on other soundbar. It is happening only on Sonos

yesterday I called technical support and no solution from them either

Did your other soundbar support and connect by HDMI, HDMI-ARC, or HDMI-eARC? 

yes. It’s Samsung Q990C and I upgraded to Sonos and I’m disappointed with this 

Which connection did it use?

HDMI-eARC

also there are no option to turn off ARC too