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Not sure this will work but no harm in trying - Open Settings then Apps and swipe to All then locate and open Sound enhancements then tap on force stop then Clear cache and clear data then reboot and test
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When your headphone is connected and you have the phone unlocked, you should press volume up and this message should appear again so you can press the OK button. Afterwards, you should be able to turn the volume up again. If not, could you try to restart the phone and try my suggestion above again?