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So I've just had a thought and this may seem like its going to be a little pain whilst playing
Plug the USB side of the TB into the PS4
Get the 3.5mm headphone input and get an extension like this >
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Now the only reason you have to do this is because with the PX21's, the 3.5mm input is stuck very close to the USB
So all you should have to do is plug the green headphone input into the extension and then plug the other side into the controller and it should work
Sorry if this doesn't work, but it is just a suggestion to anyone who has got a PS4 + PX21's and an extension to try out
I have a feeling that the output from the controller is just mic output and not full game sound

but worth a try!