All the dell midrange monitors I've bought (IE, $400-$1K) have audio jack for headphones.

Interesting you say Dell as most of mine are Dell (3 Dells + 1 MSI), same price range, 2 bought very recently, no audio.

I wonder is it a regional thing (in EU)

An audio jack is very common. Some even come with speakers. They are usually not very good but they get the job done in a pinch.

I use 2 computers connected to the same monitor via hdmi and use barrier (and a script) to switch screens. The audio for the correct monitor gets activated automatically. It's very convenient.

I have a 144Hz 1080p AOC monitor and a secondary generic LG one, both have an audio jack

I have a 3.5mm audio jack on a cheap 4k LG monitor I've been using for years