If your headset supports music via Bluetooth, then audible warnings will go to your headset, along with any other sounds the iPad is playing. Audible warnings will not work with headsets that only offer cellphone connectivity via Bluetooth.
A simple test is to tap on MORE > SETTINGS. Under the Alerts tab, toggle the Speak All Alerts switch OFF and then back ON. With the alert ON, press the VOLUME UP or VOLUME DOWN toggle on the side of the iPad or iPhone to adjust the alert volume.
NOTE: The iPad and iPhone can only output audio to one device at one time. If you want to hear the alerts on multiple Bluetooth headsets, consider using a Bluetooth headphone splitter.