Tip of the iceberg. Leave ASAP.

My coworker (a salaried employee) was working on the weekend as a courtesy to my boss (small business). She saw him wearing headphones and told him to take them off immediately and that they weren't allowed.

He never came in on the weekend again.

Rules like 'no headphones' are the signal that the boss is suffering from pathological behavior. This is a very unhealthy environment for the employees. Leave immediately.