Regarding the USB drive, this can happen sometimes if the USB device has never been used on the machine before. In these instances, Windows must install the device before it can find out its device ID, but cannot do so because SEP is blocking *all* USB devices. If you temporarily disable A&DC so that the device can install, then re-enable it again, SEP should then behave as expected.
Regarding your headphones, what is getting blocked? Why are you plugging in a bluetooth device? Are you perhaps encountering the above USB Device scenario whereby Windows cannot install the device to identify it for SEP to then allow it?
Finally, on a much higher level viewpoint, what is your use-case for blocking devices? The reason I ask is that many customers seem to have an easier time of managing the Application Control element instead, if the use-case is to block writing of files and reading/executing of .exe files (all possible using just the default rules).