Awesome mod @theangelboyThat's exactly how I mounted my strap on my HE6SE V2 and HE560 V4 which have the same headband. I sewed a loop in the end of the leather strap to feed the string through and said string is tied right under the bottom of the slider cap (does not impede the adjustment mechanism). I also sewed a small piece of elastic above to hold it in place and give some adjustability while on the head although that's not 100% necessary. You could also use something non-flexible like velcro cable tie or more string if you wanted. Everything is totally reversible in case of a warranty claim.
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Out of curiosity, do you own the Edition XS? I would be very interested in any comparison you could give between that and the 560v4 if you do.
TIA.