After some research, I found out that yes, Ubuntu can have an indelicate behaviour towards Windows audio settings and drivers.
An issue similar to the one I encountered was reported as a bug on Launchpad, as well as on the Ubuntu forum in 2009. As written below, shutting down my computer (instead of restarting it) then booting into Windows, allowed me to make use of my headphones jack output on Win7.
Here come more insight from the above mentionned forum thread:
I've read somewhere else that there's a problem in the way Ubuntu releases the Sound Card drivers or hardware itself, and when it reboots, Windows can't grab the device. It deactivates it, in some sort of way.
Turn on PC, boot Windows - Sound Works
Turn on PC, boot Ubuntu - Sound Works
Turn on PC, boot Windows, THEN Ubuntu - Sound Works, both times.
Turn on PC, boot Linux, THEN Windows - Sound Works only in Ubuntu
Turn on PC, boot Windows, then Linux, THEN Windows - Sound works until 3rd reboot.
Turn on PC, boot Linux, then Windows, then Linux - Sound works at 1st and at 3rd time.
If I shut down, no matter what, sound works.
I also found a possible solution from Launchpad - 5th comment of bug #453395 - but didn't try it, since it's for Ubuntu version 9.10 and I'm not sure it would be safe with my 12.04 version.
I was lucky to find a solution to this problem, when reading about other problem. When you edit /etc/init.d/alsa-utils, and comment the 378th line:
mute_and_zero_levels "$TARGET_CARD" || EXITSTATUS=1
the sound seems to work properly after restart from Ubuntu to Windows. Hope it will work for you too.