On my computer I can plug in my headphones before starting the recording and everything works fine. But I also have used some drivers that did not work intuitively. On some computers you can still record from “Stereo Mix”, but it is hidden. If you right-click on your speaker icon and select “Sounds”, then the Recording Tab, then right-click on the white space inside the box, you can select Show Disabled Devices and Show Disconnected Devices.
Other solutions are posted here: