There was no link supplied to the YouTube video, so I’m not sure what setup that person had. What I can say is that HDMI to VGA won’t do anything for audio because VGA doesn’t carry audio. Maybe the adapter had RCA for audio too, but that doesn’t help for headphone monitoring.
A direct replacement for that adapter might be an HDMI audio extractor like this:
A-Neuvideo 4K HDMI 18Gb/s Audio Extractor ANI-7.1CH4K B&H Photo
But there are three caveats with HDMI extractors (not counting their unwieldy bulk and cable mess).
The first is that some DSLRs can’t record internally and send video out of the HDMI port at the same time. It’s one or the other. If your camera falls into this category, then HDMI audio monitoring will wipe out your internal recording. An external recorder like a Ninja V would need to be daisy chained with the HDMI audio extractor. Or just monitor direct from the external recorder if you’re using one.
Atomos Ninja V 5" 4K HDMI Recording Monitor ATOMNJAV01 B&H Photo
That leads to potential problem #2. A lot of HDMI audio extractors actually “extract” the audio from the stream, meaning they remove it and don’t pass the audio on to the next device. Only video goes to the next device. The extractor I listed above actually does pass audio, but many do not, so verify before buying.
Problem #3 with extractors is portable power. They’re all designed for wall-wart power supplies rather than USB power banks. If you’re in a studio, that’s fine. If you want to be mobile, it’s a big issue.
Since you’re looking at an equipment purchase one way or the other, I might recommend monitoring audio in front of the camera instead of after it in the signal chain.
For instance, this is a sweet 2-channel preamp that gives you clean gain for many types of mics and lets you monitor audio before handing it off to your camera. All you have to do is watch the level meters on the camera to make sure they don’t clip:
Beachtek DXA-MICRO-PRO Active XLR Compact Adapter DXA-MICRO PRO
The next items work the same way too, but also have internal recording to SD cards which makes an excellent backup solution in case audio clips in the camera:
Zoom H4n Pro 4-Input / 4-Track Portable Handy H4N PRO BLACK B&H
Really, any of the Zoom recorders work well, or stuff from Sound Devices if you really want to spend big bucks. It just depends on how many channels you want, or how much portability you need, whether redundant writing to dual SD cards with hot-swappable batteries is necessary for reliability, or how much you’re willing to spend. There’s a recorder for every use case.