I don't think you have used a Mac recently then. When you plug headphones in, the sound outputs through the headphones. And it works if the computer was off when you plugged them in. Or asleep. Or closed. I probably care way to much about this.
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.