AFIK, most PCs only have 1 sound output, so the signal is switched between 2 sockets, one on the rear for speakers, and one on the front for headphones. Certainly all the PCs I've had have been this way
Where as on the Mac Pro I have music playing through my speakers connected to the rear socket, have IM audio chat through my headphones connected to the front socket, and have system beeps come through the built in speaker.
I find this to be super useful as it's very easy to distinguish audio from the different sources, i always used to find IM chat was getting lost in my music, or i'd miss system beeps etc.
It would seem the price of this is non auto stitching between the rear output and the front output, but this is purely a decision apple made at some point during MacOS development, if you don't like it you can use Rogue Amoebas SoundSource, but then, you can just leave everything plugged in and use the menu to switch outputs