I bought it on Xbox, is it always on? Or do I have to turn on some setting? When I plug my headphones to 3.5 mm it's just working?
With your headphones connected to the Xbox (like wired to the controller as you mention), access the Dolby Access app on Xbox and it'll walk you through the system settings (Settings > General > Volume & audio output > Headset Format: Dolby Atmos for Headphones), and once you get the green checkmark in-app a settings page opens within Dolby Access to tune your experience.
You'll get virtual surround sound at the very least across content, but there can be user error as far as the user choosing optimally compatible settings on a per game basis. Games won't necessarily default to surround sound or Dolby Atmos (
if a game supports DA natively) when you have headphones plugged in with Dolby Atmos selected as your headset format.
Repeating myself, I hope Xbox streamlines this in the future for developers and users (while still providing users the option for more control if they want to toggle a hypothetical mistake-proof feature off) and makes it plainly obvious it's working as they design something like FPS Boost icon to display in the guide for compatible BC games. And adjacent to that, it'd be cool if a game like Hellblade actually read your headset format and advised you to turn off Dolby Atmos to better experience the artistic intent.