Both Speakers & Headphones work correctly. With headphones that connect to your soundcard, when you connect them then the soundcard will stop the signal going to your speakers as both headphones & speakers are 'one' device.
However, this doesn't happen with USB Headphones as they are a seperate device. I can go into Audio Properties and change the default device. But that is a long-winded way of changing things, and the setting only takes place the next time you open an application.
For example, I can open Media Play when the device is set to Speakers, change the default device to Headphones and start another application that uses sound. The sound will then come through the headphones, while Media Player will continue to play through the speakers.
I've been doing some searching on the t'internet and found this to be a common problem.
I've found an application that half resolves the issue and can be found at
http://www.quicksoundswitch.toflo.de/eng/index.html
This allows you to change the device quickly, but won't allow you to, for example, switch the sound from Speakers to Headphones in an application without restarting the application.