assigning audio out

Should Dorico not follow the system setting for audio out?

I am on a 2019 MBP running 10.15.5. I set my system to external headphones, but Dorico overrides that and starts playing through the speakers. So I am forced to menu-dive into Preferences>Play>Audio Device Setup>Device Control Panel, then choose External Headphones.

That’s almost as intuitive as setting up user permissions on a remote Windows Server.

As with most of my previous posts, I suspect I’m doing something wrong, which is dispiriting for a guy who has used a computer every day since 1983.

I am on a 2019 MBP running 10.15.5 too and have the same problem - though I usually change the settings via the Play menu>Edit>Device Setup.
Most other apps change their audio out via the System preferences Sound panel. I would find this a more helpful way of doing this.
But I’m sure there are good reasons for Dorico to do its own thing.

I would love to know what they are in this case.

Normally, if you have Edit > Device Setup set to ‘Built-in Audio’, Dorico’s output will automatically switch between the speakers and the headphones when you connect or disconnect them. With ‘Built-in Audio’ chosen, click ‘Device Control Panel’ to open the CoreAudio2ASIO control panel. Make sure ‘Automatically Configure Devices’ is active. If you find this doesn’t work, you can use the approach of defining an aggregate device in Audio MIDI Setup, and then using that aggregate device in Device Setup. That process is described here.