Premium plan in USA, iPhone 8 running iOS 12.4 and Spotify 18.104.22.1683, macOS 10.14.5 with Spotify 22.214.171.124.g92d52c4f.
1. Play music in Spotify on iOS while using Bluetooth headphones
2. In Spotify on macOS use the "Connect to a device" control to switch to macOS
3. Turn off Bluetooth headphones
Music switches from playing on iOS to playing on macOS as expected, but when the headphones on the iOS device are then turned off, the music stops playing.
Once playback has transferred to the desktop, turning off the iOS headphones does not impact playback.