Not sure how current wireless and BT headsets from Turtle Beach and SteelSeries work, but my old Turtle Beach PX5s had no drop in wireless audio when connected to my phone via BT.
As I stated in an earlier post, the PX5s did have two volume adjustments available, one for wireless, and another for BT.
Just got my Penrose a couple of hours ago so only played with them for a few mins, but I did test the dual connection, the drop in wireless audio level is quite extreme with no audio coming from BT side, just once there is an active connection.