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The dolby/thx stuff for headphone s is done at the software level. It's just preset filters provided by synapse. There is no hardware dolby unless you get into the PCI audio card stuff, or audiophile dedicated sound board setups. Different USB DAC might impact noise levels. If you don't have noticeable audio artifacts then there's not really any reason to use another one.
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Doesn't it use the CPU more because of the inefficiency of USB?
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Theoretically maybe (assuming it's not doing hardware offloading but I don't think that is all that common) but feeding a DAC with audio over USB isn't even a rounding error on one core and I have 16 of them (16C/32T) - iirc the actual DAC just takes PCM over USB 2.0 (Linux did tell me when I was curious), that's nothing to a modern desktop computer never mind a powerful gaming/development one.

Nothing for the desktop in the last couple of decades is going to struggle with that.

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I mainly use Apple one on MacBook, and haven't noticed any CPU or issues with that. I've another one which has more power, can't say I use it that much so no idea about CPU, but I think because of higher power draw may affect battery slightly (prob bigger issue on phones).
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