I feel like every comment I'm reading assumes there's only two options - either headphone jack + wired headphones, or no headphone jack + Bluetooth.
I just use a USB-C dongle with a headphone jack on it. It'd be nice to have it built-in, sure, but the dongle is only a few bucks, small, doesn't really add a lot of extra stuff to carry if I'm already carrying headphones.
It's not a deal-breaker for my if a phone doesn't have a headphone jack because if it doesn't I can easily add one.
Depends.
Sometimes I just can't find the actual thing by legal means. Go try listening to Bruce Woolley's version of "Video Killed The Radio Star" sometime. I can either try to hunt down a physical copy or I can just pirate it. See also: most video game soundtracks.
Usually though it's more about convenience. If I can just stream something on Spotify, I'll just do that.
If there's a movie I kinda wanna see but I'm not sure if it's going to be good I'll pirate it