Sound not coming from headphones when plugged in

Material:

• MacBook Air 13-inch (MBA), Mid 2013, 1.7 GHz Intel Core i7, 8GB RAM, OS X 10.10.2;


• 24-inch LED Cinema Display (3 cables: power, USB and Thunderbolt);


• iPhone 5 (and above headphones, with integrated mic).

Problem/issue:

• when the a/m MBA is connected to the Cinema Display and I plug the headphones, the sound still comes out of the Cinema Display, instead of the headphones;


• when the a/m MBA is NOT connected to the Cinema Display and the headphone is plugged in, sound is cut from the MBA speakers and is redirected to the headphones as it should be;


• in order to get the sound redirected to the headphones, I now have to launch System Preferences, Sound and switch manually to Headphone port;


• I also tried to change the headphones, but the problem remains.

This started maybe a week ago (but after upgrading to 10.10.2, from 10.10.1, not saying that the upgrade is at fault, though).

Any ideas?