Pro players almost definitely all use headphones, because they're typically on stage for tournaments with their teammates right next to them and their opponents somewhere nearby.

But even when they're not on stage, they're often in the same room with their teammates. And even if that isn't the case for some reason and a player is in their own room, winning those tournaments is generally the highest honor, so pro players would likely want to practice as close to tournament conditions anyways.

Directional audio over headphones is surprisingly good nowadays, though. HRTF is pretty cool stuff.