Simon, this has bugged me as well.
(for others with older Macs: If you pick External Headphones as the playback engine it goes away when the headphones are unplugged and Pro Tools needs to restart. If you aggregate MacBook Pro Speakers and External Headphones, you get an "... device has changed" error and need to restart Pro Tools.)
There are three workarounds I know of:
1. Give up and use an external interface with its own monitors. Will at least let you unplug headphones, but kinda useless if you really want the MacBook Pro Speakers/want to be as compact as possible.
2. You can just leave a headphone extension/adapter plugged into the headphone socket... the Mac is just detecting the physical presence of the plug to enable that External Headphone output... or just remove your headphones from your head and leave them plugged in. However that complicates your Pro Tools IO setup as you now have to allow for both the External Headphones and MacBook Pro Speakers for monitoring and switch between them (or manually mute the MacBook Pro Speakers output). (BTW look for short 3.5mm male to 3.5 mm female cables used for phone adapters etc. Lots of choices out there, including this..
https://www.amazon.com/Seadream-Newe.../dp/B01D2E54H4. I wonder if the right anlge plug and red color would remind you not to unplug it?
)
3. You can also use audio routing software like Rogue Amoeba Loopback to forward a virtual audio path to both MacBook Pro Speakers and External Headphones. This saves needing to set up two monitoring paths in Pro Tools. You just get a Loopback notification popup when the headphones are unplugged but Pro Tools keeps on rocking, clueless to what is going on.
Several downsides of Loopback or similar for this. It is yet another things to manage and sometimes involves dicking around. Your MacBook Pro touch bar volume slider may not control the device volume you want.... when using headphones you likely will need to silence the MacBook Pro Speakers by turning off the MacBook Pro Speaker monitor in the Loopback UI. And you may have to mess around with getting clock rates to match Pro Tools sessions.
I wish Apple had just provided the ability to switch to legacy single output behavior.