I just did the latest upgrade on my 950XL,,, and now when I use the headphones,,,the volume goes automatically down to 0 (none). But if I take the headphones out,I am able to listen.
The phone keeps different settings depending on which component is being used. Have you turned up that volume, unplugged it for a bit, then reinserted the headphones and experienced the same issue? (i.e., Does it reset every time?)
I think this is a problem with Windows 10 mobile, my kids have 650s and if one of them plugs the headphones in they get no sound, pull the headphones out and there is sound. Plus with them in Groove skips all the tracks.
Looking in the Feedback Hub it appears to be happening on a fair number of devices.