And yeah I agree I'd expect to see DJs with proper headphones, because how hard can it be to keep track of them and put them in a case? It's not like they're not wired to the mixer. However, in a lot of situations, the DJ isn't going to be altering the EQ or sound in general, so they're just synching up beats or finding the right part of a track.
Fun fact: I once got mistaken, i guess, for somebody in one of the famous clubs. The manager waved me over in the bar and asked if I wanted to DJ. I took one look at their probably expensive needles and smiled a no. Maybe I could have been a superstar by now? Who knows.