Hi, you need not only a volume slider but also a Cue/PFL button.
You also need to set the headphones output to the headphone channel. Check your audio setup, as the controller shouldn't have any special restrictions.
Some Pioneer models had a single audio output and a special adapter for connecting headphones. Did you have something like that in your setup?
Regarding the equalizer, check the setting:
equalizerInHeadphones; yes
Best regards, Zenek