Why is my headset making a slight noise?

Yesterday my new headset arrived, I tried it out and think it's great, then I turned on my xbox, went spotify and turned it up completely (I know it's not good but only did it on one song) as I did both on the headset I turned up the volume and also in the xbox settings, I turned on a song and heard a faint rustling on the right side does anyone know why? I didn't have that with my old headset

Typical billo headset?

40 euro so yes there's something to it but does that break the headset?

This is to hear things around you and even with good headsets you can switch it on and off and also adjust it

Attempt to plug in cables. Does it work.