A headset it set to default only once it's connected. Have you got it connected by default?
Try changing the defaults while it's connected and reboot to see what happens.
The new drivers
and sound cards have the ability to know when a jack has been plugged in. If your headset is USB or jack, try disconnecting it and connecting it and see if it uses this as default after that.
Also look for settings in your sound card regarding monitoring jack connections