The same thing happens with my 480, Fernando; when I plug the headphones in while the 480 control head is connected via the remoterig I have audio via the rig's speaker (low, but it's there) and via the headphones. When I plug the headphones in when the 480 control head is attached directly to the 480 xcvr, not via the remoterig, the speaker is silent and the headphones carry the audio. Same headphones, same settings, the only difference is whether the control head is connected via the remoterig or not.
I can't explain it either, and it's not an issue for me so I didn't explore menu settings for the 480, but this does happen to me as well.
Steve - KB6VSE