Different audio hardware can be set up differently. On some hardware, plugging something into the 3.5mm audio jack switches the port on the device. This does not show a Plasma OSD. On other hardware, plugging something into the 3,5mm audio jack switches to a different device. This does show a Plasma OSD. It's inconsistent and odd that these two codepaths don't both result in an OSD being shown, because we can't control how the hardware is set up. Either both should show OSDs (on the logic that they're useful) or neither should (on the logic that they're unnecessary noise).
I'd argue for showing them in both cases - the OSDs are important because they show that the physical change was recognized and that the state of audio has changed. It's good to have confirmatory feedback on such state changes.
Just my $.02 - I have never seen an OSD for changing / connecting / disconnecting an audio device. I wouldn't find the OSD useful. If I plug in an audio device, and I hear audio from it, that's the feedback I need and expect. The UI telling me "headphones x were plugged in" would be redundant. I understand different people have different needs and expectations. As long as this can be toggled off or on like other notifications, this should satisfy both cases.