No audio through wireless headset

I might be highly uneducated on this topic and this question might sound really stupid, but here we go. I'm trying to connect a wireless USB headset to my Xbox One S console. I've connected the adapter directly into the console and I have no audio through the headset, at all. The audio and music section is all greyed out and I can't adjust any volume. All the fixes I've seen were related to the controller, so I just wanted to know if you can only use a headset that connects directly to the controller (not the console) or if there's something else I'm missing.

:)