Windows 10 will detect the headphones as new hardware and sound will of course be routed through them but to manage them as a separate audio input/output device you need to add them first. Windows 10 is no different but if you’re headphones don’t show up in the volume mixer this simply won’t work.
It lets you interdependently manage the volume for these devices and can change volume settings on the fly when a device is connected/disconnected. Windows, as far back as Vista, has been able to identify multiple audio input and output devices connected to a system.