While I completely understand your frustration, in all fairness to J&R, or any retailer for that matter, you can't honestly expect them to blindly accept your complaint about receiving an empty box, and immediately drop everything and replace a $300 item, without first investigating the situation. With the huge amount of fraud and misrepresentation that goes on, they'd have to be complete suckers to do so. For all they know, you could be attempting to scam them out of a second set of headphones. Let's face it, them receiving, then shipping, then you receiving an empty box, while something that can and does occur from time to time, isn't exactly a common problem.
Also, 2 of the 6 days that have passed are weekend days, where companies don't always have 100% staff on duty...especially clerical support staff. Most people and businesses do not count weekends in response time equations. So 4 business days, while perhaps an eternity to you, to a company that probably has hundreds of transactions going on at any given moment, and doesn't necessarily have a team of customer service reps standing by to immediately delve into your particular situation, wouldn't really be that out of line ... if at all. UPS, the post office, or any other couriers always work with a very long time period when dealing with claims as well. If they become part of the investigation, and I imagine one of them will, you can count on considerable delays.
Again, your frustration and disappointment is understandable, but you still have to be fair and reasonable in your expectations with the retailer.