1) How to deal with this issue?
If your monitor have speaker build-in then it will work, else just get a pair of speaker.

2) Which box would you recommend with budget about RM 300 - RM 400 ? - watching movies and minor gaming only
Beside Mi Box I not sure what to recommended in this range. Others people here will have more choices as long as you don't care on Netflix.

3) Can use bluetooth headphones with the box?
Yes you can.

easy, you have 2 ways to solve:

1. get an hdmi to vga and audio splitter.
2. some boxes have extra for AV OUT port, utilize that port to output the sound

Bluetooth is the easiest, my speaker is a Bluetooth one as well but I prefer via AV port.

Nexbox A95X Pro


Presenting the review of the new TV-Box Nexbox A95X Pro a new version of the classic Nexbox A95X model, this new version is interesting because it has a voice remote control compatible with Google Assistant that integrates with the Android TV system installed. A device that mounts the AMLogic S905W Quad Core SoC and has 2 GB of RAM, a basic model that competes in the price sector. As an attractive point this model includes DRM Google Widevine L1 certificate which allows us to see Netflix FullHD and Youtube 4K.

This device is selling at Gearbest for USD40

SPECIFICATIONS
Main Features
●Android 7.1 OS for fast and stable running
●Voice remote control for hand free operation
●HEVC H.265 decode format, saving half bandwidth
● Amlogic S905W CPU, 1.5GHz quad-core ARM Cortex-A53 processor
● Support 4K Ultra HD resolution
● Mali-450 GPU
● 2.4GHz WiFi
● 2G DDR3 RAM + 16G ROM
WiFi WiFi b/g/n – 2.4GHz
Bluetooth No

Lookup Nicety at garage, he’s based out of Penang

True also.. But then, can spend similar price and get better entry-level box.. Why not..
Latest real world reports indicate that the KM8 isn't Google certified as Mecool claims.. Latest Netflix app refuses to run on it. Patch doesn't work either.. Installing an older version does work, but res is limited to 480p.. So currently doubting their claims. Though it's probably a misunderstanding as they wouldn't advertise if it isn't.. Or rather shouldn't.
Just decide on which you want an have it shipped to you... Then can buy from anywhere, including overseas.. Check out garage sales too.

I bought all my boxes from Lazada which shipped from overseas, no issue at all. Even if that really happens, Lazada/11 Street will pay for you.

That's what YouTube and reputable websites or forum reviews are for.  Since you insist.. Then try Plaza Lowyat in KL.
You are welcome.. Can't speak for 11street. But I've bought a lot of overseas items off Lazada & Aliexpress,...never had to pay any extra customs fees. It's all already factored in, especially lazada.. Just pay, let seller ship and wait for delivery.. Typically in 7 - 10 days.. Max 2 weeks for a delayed item. This doesn't mean that you shouldn't buy local. I try to always buy local first and if only the item can't be found locally and or too expensive, then I buy from overseas..