Which version of UE4 and are you on the Legacy Audio Engine or the New Unreal Audio Engine?
To give you context, when you use USB headphones, the USB dongle is literally your audio device–where digital audio is being converted to analog audio. Disconnecting your USB headphones by pulling the USB dongle out of the port is literally the same thing as taking an Audio Card in your PCI-e and ripping it out while your computer is running. The device disappears completely from Windows device list.