All of those work. As for bluetooth, I can connect multiple bluetooth headphones and playback audio at the same time. This is a bit fiddly, but I wouldn't even know where to start on some other systems.
This is absolutely insane.
I'm sure Apple will claim to have a very good reason for this, but the concept of controlling volume on audio devices has existed since the dawn of computer audio. All other operating systems do this as expected.
This is my main issue with using Apple devices. You either accept their vision of how to use the device you paid for, or consider yourself lucky that a 3rd-party solution exists (and that Apple has allowed to exist), which you also usually need to pay for. Insanity.
[1]: https://old.reddit.com/r/macmini/comments/lgfjax/is_it_possi...
It's why I only use hardware with fixed dongles (Jabra, Logitech, etc).