Internal Speakers

This may have been asked before, but through all my google searching, etc I have come up with nothing. I just got a 5th gen nano for x-mas and was testing it out. Threw some songs on there and went to play them and the music was coming from the internal speakers. I hooked up the headphones and it plays through the speaker and the headphone. There's nothing I could find through their guides online or anything that related to any setting that I could change or anything. Some people said that this is actually a problem straight from Apple, which makes Apple sound ridiculous. I would appreciate it if anyone knows if this is an actual problem or if there's a setting somewhere I can't find.

Thanks