Actually Windows has one of the easiest ways to switch between Audio outputs, right from the taskbar. I have no idea what you are talking about.
That's how Windows 10 behaves for me. I already knew it, but just tried again for you playing a movie using VLC and plugging in my headphones. Works like a charm.
Every so often it will "forget" that it should be using the usb dac and revert to the hdmi audio output.