Can you specify the exact model of headphones and what OS you're running? It's possible that there's something unique you're missing. Hopefully the headphones themselves don't have a blown out speaker but I'd assume you'd be able to tell.
Cranking up the system volume is a workaround that scares me. All the headphones and earbuds I've ever owned can get loud at 3 or 8. They function very different on a PC than when plugged into a phone. Sometimes I mess around with Windows Volume Mixer to make a game have volume levels lower than 1 but above 0. Do you have any hearing issues? If so, it would be better to have a solution that addresses that instead of cranking the volume up even higher and putting yourself at risk for hearing damage.
Diving into the Settings for Windows 10, I see that there's something called "App volume and device preferences". It's got the "Master volume" setting that I'd control normally but it also has "App Volume" for system sounds and my web browser that's open right now. The Master volume is at 3 and the two App Volume options are at 100.
Settings -> System -> Sound -> Advanced Sound Options (scroll down) -> App volume and device preferences
There's also the "Communications" option in the "Sound Control Panel" (The one you'd get to by going through the Control Panel.) that automatically reduces the volume when it detects an incoming call. I have mine set to reduce the volume to 50% because I don't want to disable this feature but I also don't want it to cause an issue if it happens for some reason. By default it reduces the volume by 80%. Consider setting it to "Do nothing" so that there is no volume reduction if it triggers.
If I was troubleshooting this in-person, one of my tests would be trying to plug these headphones into a different computer to see if they work. Since it uses USB this might be a little harder but I do recommend doing this if you are able to. If it were to work normally and without the need to wildly crank up the volume then that would tell you that it's a system problem. If it were to still have the same issue then it might be something with the headphones.
For testing this on your own computer my immediate choice would be to use the system volume slider. If you click on the blue selection bar and then let go, a system sound will play even if you didn't move it. The arrow keys can also trigger this (but again, only when you let go of the arrow key).