PS4 - Hear only the sounds on the TV?

I have a new PS4. My 'problem' is that I hear, however, eg at Fortnite, the voice chat with the other players on my headphones (because the headphones are indeed plugged into the controller) but, the sound of the shots, etc. (or Everything else) over the TV. Can someone help me how to set it that I hear everything about my headphones?

Under Settings you will find devices or audio devices, because you can change it.

You have to think ps I hold down button, under devices, then audio output or something…