How do I use the scroll wheel on the headphones to switch between ANC, Transparency and Off modes?

By default, the Roller switches between ANC and Transparency mode for noise control.
To change this, open the Nothing X App > Controls > Roller > Press & hold, then select Transparency, Noise cancellation, and Off.

Note: Transparency mode is not available under Flat EQ. Only Active Noise Cancellation and Off modes can be toggled.