UPDATE: RESOLVED
I had to reset the headphones and pair them up with the USB bluetooth stick again. This is a very easy and quick process to do. Still I do not know if uploading sound modes for various games will work out in the end. The instructions on how to reset the headphones can be found here
I recently got the Sony Gold 7.1 headset and it used to work perfectly. I downloaded the Headset Companion App and tried to upload Far Cry 4 sound mode. After that the Headset would not make any sound (it would not output sound). I tried to reset it to the factory modes through the Headset Companion App and nothing. It won't work nor with PS4 or my computer wirelessly.
What can I possibly do?
By the way, the headphones work with cable so the problem is obviously in the wireless connection.