First test the headphone in another device (laptop, etc) and all your USB ports on that machine to see if the issue isn't with the headset itself. Many of those "gaming" sets are actually piss poor quality (even the $100+ models), and wouldn't be surprised if that one was also bad.
If you can confirm the headphones work on other devices, test the headphones using a powered USB hub (one in your monitor or any other hub that has a power adapter), that might be enough to isolate the headphones from a bad power supply/mobo. Usually a PCIe USB adapter will not help you if the issue is your power supply or the motherboard's connections.