Notifications play on MacBook speakers when I use headphones.

I think this is a bug, but not sure. This is how to reproduce it:

1. Choose speakers as audio output.

2. Increase volume.

3. Choose headphones as audio output

4. Receive any notification – the sound plays though speakers with the volume set when speakers were selected as output.

To fix this you need to select speakers as output and set volume to 0. This is very annoying, does anyone know the permanent fix?