I seek out phones with audio jacks. My current Moto G Power 2020 has one and I use it all the time. No dongles or adapters in the car or on various headphones. Plus I actually use the FM Radio built into the phone and that uses the wire for the headphones as an antenna. I just cut off some old earbuds and plug that in, then direct the audio to either the phone speaker itself or BT.
You can prevent this. Click remind later then go to your notifications in the settings app. Uncheck "Suggest ways I can finish setting up" and anything else you don't want to see.