Yes, the volume controls both at the same time. A rising tide floats all boats as it were.This is what I heard from Currawong's review and I did ask at the Schiit happened forum, but no answer(s).
The concern is, at pre-amp mode, if left the headphone plugged in, will the volume up of the pre-amp will bring the headphone volume at the same time or not?
Probably best to unplug your headphones when using MJ3 as a pre-amp.