I am not sure if it's will help but, did you tried Reset Audio? After resetting it might start work.Here is an official manual, page 43 I found it there. Also, verify that you plugged the headphones into the Headphone port and NOT the Line-out port.
After I finished setting everything up for my AW2521HF monitor, I plugged in my headset into the headphone jack of the monitor and realized the volume was way to high. I then went to the Alienware monitor settings, went to audio and put it at 25%, (it was originally at 50%). The volume that came from my headphones was still the same, no changes whatsoever. I then set the volume to 0 and the volume was still very loud. Is there a fix for this? I’m wondering if I got a defective copy or not. I just got this monitor.
AW2521HF, volume control not working