It's simple: how ever you choose to "detect" sound, the oscillations from that sound have to energize the ossicles in your ear, which then cause oscillations in fluid in the cochlea. The fluid oscillations cause resonant responses in the cochlear membrane which eventually causes responses in tiny hairs in your inner ear which send signals to your auditory nerve.
No matter whether the sound comes through your ear or through your bones through some magical device, it has to ultimately travel as impulses through fluid in your ear, membranes, and so on. So with the magical device on, you've allegedly got sound travelling through your skull while also sound from the environment is energizing your eardrum. Those sounds all end up in the same place: the fluid in your middle ear. Those magical bone phones have done nothing to reduce the wind noise, which still will combine with the music your listening to.
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