The volume button controls only the PS Link audio from your console or PC. When your earbuds are connected to a Bluetooth device, you need to control the volume from your mobile device. When you listen to two audio sources at the same time from both PS Link and Bluetooth devices, the volume button controls only the PS Link audio.
How to mute the mic on your PULSE Explore wireless earbuds
Both of your earbuds have a mic on the top part of the earbud, which you can use to do things like voice chat.