I can guarantee that they all had some form of monitoring system. If you can't hear the band, you're never going to be able to stay with them.
The rest of the band who didn't have headphones could have either had in-ear monitors, which unless you could see the wires you probably wouldn't be able to tell they had on since they are very small and fit inside the ear. Or they could have had floor monitors pointing up at them.
If you've ever stood by a drummer pounding away full blast on the drums, they are typically very loud. So they put the plexi-glass shield around the drums to isolate the drums from the other musicians and then the drums are miked so that the volume can be controlled. They can give the other musicians the volume that they want to hear instead of just VERY LOUD drums!
At my old church I played drums in we actually had an entire encloser for the drums. It had the plexi-glass in front, then it had foam panels that went behind the drums and on top.... It was essentially a giant "bubble". The room was fairly small and it had a wall made of large rocks behind the stage, so the the only way to control the volume of the drums was to completely box them in. And it worked great!
-tkr