Notification sounds when using Bluetooth?

Hi,

I was wondering if it's normal that when using my headphones via Bluetooth, I don't get any notification sounds? Instead, I hear a brief pause for when the notification would come, and my audio would resume. Instead, my notification sound is heard on the speakers of the phone?

On the other hand, when the headphones are wired, I do hear the notification sounds as expected.

Any settings that can change this?