Is there a headset connection on this controller?

I bought it yesterday from the Microsoft store on the Xbox!

But there's also a headset connection or it?

As you can see, you see nothing!

Do you have a picture or link to the controller?

Yes, see here:

https://www.microsoft.com/...reviewstab

"Enjoy custom key mapping and improved wireless coverage. * Plug in any compatible headphone with the 3.5mm stereo headset jack…"