Headphone Jack connector not working

I bought an iPad 11 Pro and then discovered there was no jack plug for my Bose Headphones. I chatted to Apple Support who gave me the link to purchase a USB/Jack plug connector for £9.99. I bought it but when I’ve come to use it tonight there was just a lot of clicking through the headphones initially .... then nothing. The sound is still coming through the iPad speakers.

Is there a setting somewhere that I need to alter .... that I’ve missed somehow? I’ve looked everywhere I can think of in Settings.

Can anybody help me please? (In non technical speak!)