I can’t find that setting.
Nevermind. It just occurred to me whether or not AE even supports surround sound. I searched the help and discovered it does not.
I'm not exactly sure how surround sound functions in headphones so maybe it's not true surround sound and it could work.
So basically confirm that your headphones are working by installing any required drivers and setting computers audio preferences to in fact USE those drivers to drive audio. If you're not sure how to do that check the instructions that came the headphones to learn how to set them up. If you then fire up AE and there is no sound then it's because AE does not support surround sound. Audition does, so maybe test it there.