Enhancement not supported??
It is either Software or Hardware - both solutions below... best of luck
Just in case this setting got mixed up, go to menu - tools - settings - general - enhancement - and make sure your default is set to "Headset". If it is already set to "Headset" then it may be a hardware issue...
The Nokia detects a 2.5mm jack when inserted and defaults to the standard headset mode (sound comes out through the headset but uses the phone speaker). There could be 2 causes to this (1) short in the headset jack or (2) debris in the headset jack that is making a connection between the contacts.
I recommend that you use a "can of air" sprayed directly in the jack to clear any debris. If this does not work, plug in the phone/headset jack that came with it and ensure that it detects it.
If that does not work, it is a short and you should return it or, if it is out of warranty, get someone skilled to replace or disable the jack (only do this is you have no other option -- Nokia won't touch it after you open and solder it).