I have the same problem on a Surface Pro 4.
Didn’t have the options for “Default Audio Device” so couldn’t do that.
Instead I think I restarted AE (CC 2015) with the headphones already plugged in. Then I unplugged, went to settings, saw headphone not listed, got out of settings, plugged in the headphones again, and went back into settings to see both speakers and headphones listed. Headphones were already selected but for some reason it worked this time.
Perhaps it was the starting the program with them plugged in.
– Will update if I find out.
Dale.