You can get little attenuators for volume control of any IEMs that plug in between your earphone's cable and your source, so it's not something you have to get with your earphones. Why is the volume control so important to you, btw? I've never found myself needing volume control on my cable - i always set it on hardware or software and I usually haven't any need to adjust it unless I change headphones.
Comparing earphones and headphones is pointless, IMO. It's just not something that I do. They each stand on their own merits. Many will say IEMs can't compete with headphones, but I just view them as different experiences entirely. Kind of like how I don't compare filter coffee to instant coffee - they're just different drinks to me..
The Shures have those MMCX connectors that are prone to breaking, but otherwise seem pretty good for something with removable cables and a well-known name. You can get replacement cables with in-line mics that are very good, apparently.
Klipsch S4 is not something I have, but I've read enough to know that the IEMs I listed are considered to trump them, despite their low prices. I think you need to think hard about what your money can buy you and where it's going in those cases - I can tell you that a fair chunk of the Shure price is brand. A big reason most of the IEMs I listed are going so cheap is because they don't have the recognized brands and because they're from smaller companies in China.
The notion you have that you must spend over $100 to get something that's better than your Steelseries is a bit off, but exactly what the Shures and Westones of the world want you to think. But if it will satisfy you psychologically to spend more money on IEMs considered to be lower SQ than the ones mentioned, then go for it.
But if I were you, I would get the Tenores and then continue my audio journey by looking at what other options and upgrades are out there. They're cheap and they're just wowing everyone who tries them - some saying that they're the best earphones they have tried, period. How can you not be even slightly tempted by that for around $50? if I could get them for below $80 (bloody eBay vultures), I totally would. I plan on getting them in with a Tenso order one of these days, though.
I recently bought myself some cheap Koss PortaPros despite having better headphones and I'm pleased as punch. I prefer them to my first head-Fi purchase, the JVC S500s, which cost more and had huge hype surrounding them. They're not better than my other headphones, but they're just so pleasant to use since they don't reveal compression artifacts and sibilance as readily as my higher-quality headphones.
I own the Westone UM3Xes, but I've still ordered the Ostry KC06As for something different and to see just how far this price bracket has come.
Hatefulsandwich cannot write brief posts. Woe is me.