The good ones usually don’t use a 2.5mm jack, and most people don’t have a good pair of wired headphones.There are some nice headphones that are wired like I got the Beyerdynamic DT 990 Pros which I have wired into my receiver. Sounds amazing.
In the context of comparing the cost of piecing together your own remote play setup and buying this device, i think the cost of headphones should be considered.