I installed the Ford OEM DVD headrests in our 2014 and did all the wiring to spec. There was no wiring connected to the head unit to allow for the sound to come from the vehicle speakers directly. Not an issue for me because the kids use the headphones, but I thought it was strange. If your setup is the same, I would guess it could only be through an FM signal or bluetooth, but maybe Ford does connect them to the head unit for a true factory installed setup. I'm interested to hear a resolution to this as well.
You could always purchase an external FM transmitter and plug it into the headphone jack on the headrest...wouldn't look great though...