First, no your wireless headphones will not connect to your Roku Express. There are a couple of Roku players that support connecting headphones via Bluetooth, such as the Ultra and the Streambars. But none of the other Roku players will do so.
And even with those players, using them will disconnect the audio being sent to the TV, so you will only get audio from the headphones. There's no way to get audio from both devices at the same time.
I don't know why your Vizio TV is working any differently with the audio from the Roku compared to a cable box. Even if you didn't use a cable box, and only used the TV tuner for your cable channels, that would have no impact on your TV's audio output. Whatever you were doing with the cable source should be working exactly the same with any other source, regardless if it's a Roku or some other streaming device. None of them would alter the way the TV audio is handled.
Also, your wireless headphones are very likely using Bluetooth as the RF protocol. They are all wireless, just using different protocols. If your headphones were something other than Bluetooth, you would have to plug something directly into your TV to receive the audio. I realize you mentioned plugging something in, but that doesn't mean your headphones are not Bluetooth.
Dan
Roku Community Streaming Expert
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