UIImpactFeedbackGenerator Not Working When Audio Device Added to AVCaptureSession

This seems to be an intentional behavior.

You can stop the capture session, play the haptic, then resume the capture session, which appears to be what the camera app is doing, as when you peek the camera feed goes to a blurred static image of the last frame captured. For example:

self.session.stopRunning()
// Play haptic
UINotificationFeedbackGenerator().notificationOccurred(.warning)
// Not completely sure if this delay is needed but you might need to wait until the run loop after the haptic plays to resume capture session
DispatchQueue.main.asyncAfter(deadline: .now() + 0.1)
{

    self.session.startRunning()
}