I think I have determined the cause of the issue (but it is up to Apple to fix it)
If I plug in the headphones slowly and not all the way in (about 1 mm left to go in) they work great.
There are many different types of headphone plugs - there are two, three and 4 conductor. The two conductor is for mono phones. The three are for stereo. The four conductor is for stereo with microphone.
Inside the 3.5 mm jack socket is a switch that detects if the plug is inserted. This is what triggers the device to shut off its speakers and redirect audio to the headphones. The tip of the plug shape triggers this switch, however the software in 14.3 is not fast enough to detect the switch state change, so it stays on internal speakers mode.
By plugging the jack in slowly - the device has time to process the switch activity and it switches over before the switch closes when the jack is fully inserted. I have gotten this work work several times - but it is a bit tricky - you'll have to experiment with it.
It issue may be because either the OS is not polling fast enough to see a switch open then switch close operation - or the switch itself is not fully closing when the plug is completely inserted.
When nothing is inserted in the socket - the switch is closed. Plugging in a jack opens then closes the switch quickly. By slowing this down - it seems to work.