I think you need to set the headphones up as the default audio device in able to hear the sounds. Checkout this discussion one of my co-workers had about bluetooth audio configuration. Please read through the entire thread as there are many suggestions that you might find helpful.
In order for me to better troubleshoot this issue please right click on my Dell Todd username and send me a private message with the Dell Service Tag of your XPS laptop. Please keep all troubleshooting discussions here on this thread so that others can see what is discussed.