Game sound coming from speakers and system sound coming from headphones , another reason why winblows , headphones are set as default audio output device. Winblows !!!!!

I mean are you a power user or what? Just bloody configure it

Certain applications have specific settings, so do like @dontPanic said, and configure them.
By the way, if you're often changing between audio outputs, I can recommend SoundSwitch (https://github.com/Belphemur/...). It allows you to quickly switch between devices via hotkeys.

As much as I hate Windows, that's not any different from PulseAudio's behaviour. Just fucking configure it. There's a "set as default" for a reason ffs