Sound doesn't go to headphones when plugged in

I have to use headphones a lot, and FFXIV seems to have an issue when it comes to switching sound output when plugging in headphones. Almost every other game/app automatically switches to headphones when they are plugged in, and back to speakers when they are removed. If the app does NOT do this, it often has sound settings that let you pick what your output device is.

FFXIV outputs sound to your primary output device when the game was last started, and does not switch. If I'm playing the game and plug in headphones, all the sound on my laptop goes to my headphones except the game (which continues to play on the speakers). In order to switch between headphones/speakers, I have to restart the game which is both a hassle and also not feasible when in events.

My configuration is:
- 15" Retina MacBook Pro
- Windows 7 / Bootcamp