Headphones for Steinberg UR22 MK2

I have been using the Steinberg UR22 MK2 with studio speakers on a general usage Win 10 PC but would now like to try plugging a headset directly into the Steinberg, connected by usb to a new dedicated Win 10 gaming computer. The onboard audio of this MSI Z390 gaming computer is quite weak & needs amplification. It does not have a dedicated sound card. To install one, it would need to go over the top of an in use SSD slot & there is no other option in that regard. Heat interfering with the SSD would be my concern with doing so.

As a virtual novice in this matter I need to ask the question if the Steinberg MK2 is a DAC as well as an amplifier. I also need to know what recommendations you would make for a compatible headset for this arrangement. If possible I would not want to exceed $A200 for a mid range headset.

Thanks for your help.