Headphone jack connection: is this setup safe?
It's not great - the two output stages will tend to backfeed each other, which MIGHT (depending on design) eat the output transistors in one or both, especially if unpowered.

Too, there's somewhat of a risk of generating a ground loop between the two devices, unless they're both battery powered.

Headphones are cheap. A second set will cost less than that adaptor and set of cables.