Everyone's ears/hearing is different. I like using headphones with my CZ that are high impedance. Troys, Sunrays, etc. I use my Black Widows on the beach in the Fall/Winter because they are great at keeping the noise level of the beach out. I don't have to be too aware of the surroundings there since there are no trees to fall on me and no snakes to worry about like in the woods !
I just got a Garrett Z-Lynk set up (without the wireless headphones) and tried it out on my CZ. Works pretty well. I can still use a pair of the high impedance headphones and thread the headphone wire under my shirt to the module so the cable is out of the way. Still, for the most part I like the direct hookup right into the unit when using my CZ but I hear ya about the wireless option. Having a Deus and Makro Multi with wireless really does spoil you.
I may spring for the actual Garrett wireless headphones that pair up with the Z-Lynk but not sure how they will sound.
I can tell you this. My Troys sound different than the Sunrays, which sound different than the Black Widows. There is a difference in pitch on each one. I tend to gravitate toward the Troys for the most part...possibly because I am used to them and use them the most and I like the way the high tone sounds on them the best.
Also, they don't have any swtiches on them. Just a volume knob for each ear. The Sunrays, Black Widows and even my Grey Ghosts have swtiches, which are either delimiter switches or a switch to allow use for different units. Not sure why some of them have that, but there were times when a switch was in the wrong setting and I keep wondering why I could not hear anything...then I remember about the switch.
Lastly....it's all about cost. Some headphones are expensive. Bottom line...even a $20 pair will sound fine on a CZ. As long as you can hear those tones, you are good to go ! I am a detector and headphone junky, hence the reason I have lots of units and lots of headphones.
If you are thinking of going high end in terms of possibly getting a pair such as Sunrays, etc. before you spend the money, I can ship you off a pair of Troys and Sunray Pros to try out. They do sound different (at least to me), on a CZ. Just ship them back the same way I ship..USPS priority.
