Inability to choose audio output device

The new iPad Pro running iPadOS 13.5 still cannot choose where to output the audio from!

Problem to be expected:

When connecting to a USB-C monitor without speakers (e.g. HP Z27, LG 27UD88),

as we can't choose which device to output the sound, we can't hear anything.

In contrast, we can select which device to output audio from a Samsung Galaxy Note 9 (Android) or a laptop (either running Windows 10 or macOS).