AirPods Max isn't a regular headphone. It wont't work with analog input. The way it was designed differs from regular Headphones that wired connects the drivers to an analog input. In AirPod Max, the drivers are connected to an internal amp. So there's no way to connect an external audio source to the drivers bypassing the internal amp.
It's the way it was designed.
When using the Lightning to P2 cable, inside the lightning connector there's a small chip that converts the analog signal to digital, called ADC (Analog to Digital Converter) which acts the opposite way as a DAC (Digital to Analog converter).
I think Apple decided to offer a simple and powerful way to listen to music to people that doesn't know or doesn't have DACs and the proper audio files to throw into it.
Simply enjoy your AirPods Max the way it was intended. Bluetooth connection trough Apple devices.
As for Apple's LossLess Audio you are wrong about the volume. LossLess Audio provides higher bitrates that increases the quality of audio, it doesn't means that audio will be louder, but with better quality.
For enjoy LossLess Audio, you will need an external DAC capable of handle the large bitrates files. None of Apple's offerings will handle it. And, off course you will need analog headphones that uses wire connectors.
Learn about lossless audio in Apple Music and how to turn it on or off for your device.
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