Try the MS Sound Mapper device driver. in SF, "Options> Preferences> Audio> Playback tab" The "Windows Classic Wave driver: device does not route audio from SF to Bluetooth ,,, at least in my Dell laptop.
Make sure other apps are not using the driver at the same time as SF.
Are they a Bluetooth headset or the Sony headset eg the WHRF400R, which comes with its own wireless transmitter/charger docking unit?
For my Bluetooth headphones, I had to make them the default audio playback device in the Windows Sound Control Panel, Playback, when not connected the Playback device reverts back to the speakers output
If the Headset has its own transmitter/charger docking unit it needs plugging in to your front (or rear) audio out socket as you would headphones with a 3.5mm stereo plug.