Third Party Wireless Headset Help? (XBox ONE)

I'm trying to help a friend set up a wireless headset for PUBG that connects via USB, but we are both mystified - not only is the XBox not picking it up, but there doesn't even appear to be anywhere in the entire settings area for picking wireless sets up at all.

The headset works perfectly on my PC and is literally plug-and-play (plus a single click of a pairing button) so we have no idea where the problem is. This is the model - https://www.amazon.co.uk/Promotions-EasySMX-Rechargeable-Detachable-Microsoft-Black-blue-XboxPS34pcmac/dp/B01EAF3AK2/ref=cm_cr_arp_d_product_top?ie=UTF8

After googling around it almost looks like Microsoft have made it actually impossible to use a wireless headset without buying an addition contraption that goes on the bottom of the controller which no doubt would cost €30+ again... that you then plug the wireless headset into, thus defeating the entire purpose of a wireless headset? What's that about, please tell me it isn't the case?

Can anyone give any advise? I've not touched a console in close to a decade, but we are at an absolute, complete and utter loss as to what is going on here. Any help would be massively appreciated!