I have the same problem with Realtek High Definition Audio driver when using the headphone jack. If you are not in this case, please ignore the remaining part of this answer.
I think the reason is that the Realtek High Definition Audio driver is not working properly in Windows 10, because when you go to Device Manager => Sound, video and game controllers => Realtek High Definition Audio => disable and then enable, the unmute problem will be fixed.
But I found another easier way to solve the problem, and potentially figure out what cause this weird behavior.
In short, to reproduce and fix the problem, first you mute and then unmute the speaker. Now no matter how you adjust the volume, the headphone produces no sound. Then you drag the volume bar to 0, and then click the volume icon (should have a cross on it before clicking). Now adjust the volume: sound is back!
It seems that when the speaker is muted, it has to be unmuted to 0 volume before changing the volume value. It might be some new feature of Windows 10 that's not compatible with the old sound driver. Hope this could help.