I had a pair of sennheiser urbanite headphones that used USB (micro :( ) for digital audio input, and you could use them while charging. Was shocked and disappointed when i eventually replaced them with Audio Technica ones that could only charge via USB but didn't do audio via USB, only bluetooth or analog.

I agree (and am sad) that it's not a ubiquitous feature, but headphones with a built-in dac do exist