My headset for fm radio cannot be used for channel change. It switches off and on instead. I'm not able to change the channels using headset given by them.
Did you update to Android Jelly Bean OS? Samsung Jelly Bean OS doesn't support this feature. Source.
Try pressing headset button two time frequently as you double click from computer mouse.
Just long-press the headphone for 3 seconds, and it will change the channel.