To me a set-up could mean multiple headphones with multiple components. For example I currently have only 1 headphone, but 3 amps. I listen to a broad genre of music and different songs go better with different amps. None of my amps are superior to the other 2 for every song that I listen to, you can find at least 1-2 songs where the listening experience is more enjoyable with a 'different sound signature'.
Perhaps you could argue I haven't found that one particular 'end game' set-up that consist of one headphone/amp/etc.., but I highly suspect there isn't one. I guess the same could be said for owning multiple headphones.
Only 1 headphone? That's staggering. What on earth is it? The orpheus?