So right now your keyboard has a USB dongle to the USB port on the PC AND 3.5mm Heaphone microphone connected to your PC's sound card? Or is it just only one USB dongle from the keyboard to the USB port on the PC?
Depending on the sound card ADDED software (Realtek, etc.) that may manage that, Windows natively doesn't "switch" automatically unless it detects it plugged into the computer itself (the headphone, mic, USB, etc. port). If there is INCLUDED keyboard driver / application software (check the maker's support webpage and install) then that might also help with recognizing "HEY something got plugged into me, I better pop up my panel and make sure the user wanted to do that".