I am using version 3.0.11 though this is an issue that has appeared in previous versions. I have also searched for a solution and not found one. Also actually reporting this as a bug does not appear very easy to do. Otherwise I would have done so already. And perhaps this issue is resolved somewhere that I have not found. This applies to video files, I have not tested with audio only files.
However, the issue is that when switching audio sources I won't get any sound. So in switching from my speakers to my headset VLC will no longer play any audio. I can sort of fix this by turning the audio track off and on again or switching the source manually in VLC. But none of this worked on the last file a .mkv file I was trying to listen to. As I mentioned earlier, this seems to be .mkv files and I have not had a chance to test it on any other types of files. In case it will help I am using a Sound Blaster V sound card and my headset is a Corsair VOID Pro Wireless headset. I will continue looking to see if this issue has been solved anywhere else.