hi @loma! sorry for not replying sooner but somehow this just got lost…
this show was not intended to be for an audience listening through headphones. I made a small tour here in Portugal and this gig just showed up. I had never done anything like this so I said: yes, let’s do it!
the people who promote the show had all the equipment. all the headphones were coming out of an headphone amplifier to each person in the audience. that amplifier was receiving the main mix I usually send to the sound engineer.
the audience does not have volume control on their headphones, this was a choice of the production team. I asked why and they said “we choose a confortable volume for everyone, it’s more simple”. I think it would be nice that the audience could have a personal volume control, but I understand the logistic problem in doing so.
from my experience, it was amazing! I would like to do it again but with a set, especially composed for that purpose. one thing I notice was that every movement, note, control had to be played in a very delicate way. but maybe that’s because of the kind of music I play 
it was the most immersive show I’ve ever played and I really enjoyed it. I have to say that my set does not have any acoustic instrument that requires a microphone, so no direct sound in the room. oh, there were around 15 people in the audience.
hope it helps!