So basically the game goes off of your default sound device when you load it up. If you try to change it while the game is currently running it stops sound entirely. You can change your default output device (assuming you play on a windows PC) by right clicking the speaker icon in the system tray at the lower right corner of the screen, then left clicking on "Playback Devices" then find whatever your non-headphones playback device is and setting it as default. After you start ffxiv you can then go back and set default to headset if you want the rest of your sound to come through your headset.