Your audio driver should have settings window similar to this:
One can choose headphones and two channel speakers as separate options because these devices provide significantly different stereo experience given the same input. It's all about…
When you think about how humans perceive the sound, you may notice that:
Having this in mind we can see that…
Headphones and speakers have different abilities
When your computer generates the sound (say: from FPS game) and when it is aware you are using headphones, it can take advantage of (1-4) to make the sound more realistic. Virtual reality gears also use (5). Having strictly separated channels to the user's right and left ear makes all sound tricks possible.
The setup with two speakers is limited, e.g. it's hard to simulate whispering to the ear when every sound from every speaker goes to both ears. There are tricks that use interference to enhance the perception but it's always something different than headphones. Of course to successfully use those tricks on you the audio driver should know you are using speakers.
That's why the driver needs to know what kind of device is connected.
I think the vast majority of stereo recordings is made in a way that for the best reception the left channel is supposed to be heard from the left and the right channel is supposed to be heard from the right. It may seem obvious and not worth mentioning, unless you realize it's something different than "the left channel is supposed to go to the left ear only…".
When your computer is aware (i.e. it is told) there are speakers connected (and there are no sound effects), it just sends the recording left channel to the left speaker, right to the right, the only thing to do is applying volume. You hear "left" sounds with your both ears but you can tell they come from the left thanks to the mechanisms described above.
On the other hand, when your computer is aware there are headphones connected, the driver rebuilds the sound to give you the impression that "left" sounds come from the left, not only to your left ear. The left channel goes to the right ear also but with reduced volume to induce (1), with a delay to induce (2), with phase shift to induce (3) and with other modifications to induce (4). The details of this rebuilding process depend on the audio card, its vendor, the driver itself – this makes some cards better than the others.
I used to have a setup where my speakers and headphones were connected to the same socket (via mini jack splitter). I switched my audio driver option few times a day depending on the device I was using at the moment, because every mismatch seemed unnatural to me. My brother hardly ever noticed the difference.
Your specific problem
I guess your audio driver is told there are headphones connected (or the socket you connect them to is dedicated to headphones only), that's why you hear "little high" and "little low" in both left and right headphones. Still, the direction of sound should be clearly recognizable, the experience should be similar to listening the recording on speakers.
It looks like your Xiaomi doesn't care whether there are speakers or headphones connected. It passes the channels without mixing because it's the easiest thing to do. When it comes to the music, this is the right thing with speakers. My old Samsung also does this the easy way which I find awful with headphones, especially during songs that separate channels as significantly as Bohemian Rhapsody does. Hearing the singing with only one ear seems unnatural and gives me headache. Fortunately I have good Bluetooth headphones, they have an option to rebuild the sound on their own.
It seems to me you got used to your Xiaomi behavior (which I find wrong) and expect it from your PC. You may even think some part of Bohemian Rhapsody magic comes from the channels being separated in the way you like. There's nothing wrong with that, I have no intention to "fix" your thinking, I can even imagine the Queen might intended this "ear separation" which is achievable only with headphones and without mixing.
Anyway, now you know where the difference comes from.
To make your sound card pass the channels without mixing them, tell the driver you have two speakers connected. I have little experience with sound cards and their drivers but I guess if the socket you use is dedicated to headphones only (it may be front panel socket) then this option may or may not apply. In case it didn't, you should connect your headphones to the socket where speakers may be connected (like in the rear).
You should also remember that some sound effects and enhancements (e.g. surround sound) may distort stereo image. Their impact may be different with speakers and headphones. Check if you have them disabled.