E900 Plus

How to set up the 7.1 surround sound?

No driver need. It is working once you plug the headset into your PC.

Noise cancellation doesn't work on my devices.

The noise cancellation is to reduce low-frequency noise, not high-frequency noise like human voice.

When I insert them on the ps4 the side lights come on, but the audio continues only on the TV.

Is there a 3.5mm AUX cable in the package?

No, there isn’t. Only a USB cable.