I haven't used my headphones much with my Bold yet, but the phone call behavior was the same with my Tour. I don't think the other alerts played through my headphones either though.
The music playing should pause while the alert sound plays, then resume once the alert finishes.
I'm not sure if there is a way to adjust it, but it isn't a glitch it was the way it was designed.
No, you are not doing anything wrong. The media player pauses, the ring tone comes through the loud speaker, answer the call and you can converse using the headset. There are no settings to chang this.