IS it possible to list your full system's specs while also stating how you've connected the display to your system? Via a discrete GPU or the iGPU ports on the motherboard? It'd also offer some insight as to the make and model of your headset.
Per your display's
manual you may need to get a hold of an audio cable to pass through from your desktop audio/sound card to the display or at the very least see if the primary audio output is the HDMI port.
If you're on Windows' OS environment, go to sound manager > Playback tab> set the HDMI audio output as default and then connect the headset using the 3.5mm analog connector on the monitor.