Why do volume keys stop controlling my headphones when a monitor is connected?

Check when BetterDisplay takes over the volume keys. If it is set to listen whenever a controllable display is connected, the keys can still adjust that display after you switch the macOS audio output to headphones or another device.

Open Settings > Keyboard > Native (Apple) Keyboard Control > Native Audio Key Settings…. Under App should assume control over native audio keys when, choose Current audio device matches a controllable display's name. This is the default policy: BetterDisplay takes over for a matching display audio output and leaves other outputs to macOS.

Check that your headphones are the selected sound output in macOS, then retest volume and mute. The interception policy is separate from Volume Control Affects:, which selects the display BetterDisplay adjusts once it handles a key.

Handle devices with native volume control provides a native-audio fallback when the display operation cannot handle the adjustment. It does not mean that the current audio output always overrides a successful display-volume action. Choosing the appropriate interception policy avoids relying on that fallback.

For a complete monitor-and-headphone setup, follow Make volume keys follow the device you are actually listening to, including matching, separate key targeting, quiet tests and restoration.

If you want macOS to handle volume and mute entirely, turn off Listen to native audio keys. BetterDisplay's menu sliders remain available. See Native audio keys for the other policies and Target Displays for display selection.