Don't buy the HE 500 unless you have a decent amp with some power.
With regard to you amp/dac questions, you will very likely get better and more answers by posting in the appreciation thread for the HE 400 and/or one of the amp sections of the forum. I can tell you that both the O2 and Schiit Magni should have no trouble powering the HE 400. What I can't tell you is whether or not one or both is a good pairing with that can.
Don't get a transparent amp like the O2 to pair with the he 400s - it'll just highlight its weaknesses, namely the treble spike.