I checked on my S9 running stock and the alarm plays out through the speaker and not the headphones, so I guess we are different to stock firmware.I'm on Lineage for a longer time. So this behaviour is normal for me and the way it should be. I don't want this to be different. Neither I know anyone, who dislikes this setting except you. In my eyes it's not a bug, just a setting.
But I agree having the choice for alarm audio output might be helpful for some people.
Not that I think our behavior is wrong though.