I have an MPOW BT heaset and it work no problem with my clip sport plus.
Try this
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Go to settings > Restore and restore the Clip Sport Plus to factory defaults
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Go to Bluetooth and turn Bluetooth on
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Put headphones in pairing mode
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Select Search devices
It should see the headset and you can choose it to connect.
If this does not work may be best to contact sandisk support. there may be an issue with the player you have.