It makes tons of sense, but only if you have a separate volume track, which Windows Phone does not. Which is still absurd.
It works the way you described in Android too, and works really well--example, I often plug my GS3 into my car when I get into the car, but I'm not always listening to music through it, I'll often flip through the radio. If I got a call and the notification only came through the headphones I'd miss it, but it rings through the speaker, so I hear it.
And it works really well on Android in your scenario too, because it has a separate volume track. You mute the notification ringer, but you can still control the headphone volume. Another thing WP can't do. Urgh.