How do I connect the headphones correctly?

Have an xBox One X and want to connect my headphones. These even have a built-in microphone. But if I plug these headphones or another pair into the circular input at the bottom of the controller, the sound still comes from the screen and not from my headphones. Why is that?

Check the audio settings to see if you really have selected a headset.

I mean that you have to put the output device on the headphones in the Xbox settings under audio