Tested this last night on Gran Turismo 7. Made sure I had 3D spatial audio selected in the options and maxed out the volume on the PS5 itself and turned up the volume on the headset. It's hard to know exactly what level I was at since there's no indicator but my best guess was maybe 70/80% - pretty sure I was just about 2-3 clicks away from max level on the headset. At this 70/80% level, it was plenty loud for me and probably as high as I would take it. The game sounded absolutely incredible. I did not check it with any story games but will try Horizon Forbidden West in my next playthrough - my guess is that'll sound pretty good since the detail and directional audio were decent in GT7 and had no issues with loudness.
The odd thing was I loaded up Spotify to see how music would sound and that was a disappointment. I maxed out the volume on the headset and PS5 and while music was very listenable on that volume, I felt like it just wasn't loud enough. That surprised me since the volume on GT7 was more than enough (even though I was pretty close to max on the headset) but I would have expected similar loudness for music as well. Having the option to go a couple of levels higher for music would have been good but to be frank, I never listen to music on consoles anyway - I'm just there to game. I'm not sure if I was missing volume control on Spotify itself but did anyone else notice that in their testing on PS5?
Overall on the PS5 volume topic - even though 70/80% was more than loud enough for me, other users may want some more room than just 2 additional levels. I'm not sure if this can be addressed through a firmware update I think it would be good to get that extra headroom for others who may want it.
I don't use those music players - I'm pretty basic and use Spotify on my PC haha! But if it's a standard PC music player, I don't see any reason why that would not allow you to transmit audio by having the headset connected via the USB dongle. You'd get all the audio from your PC. Maybe I'm not understanding your question but again I don't see why not. I can play audio through VLC media player for example and it sounded fine.