I can confirm that there is no cog in the Samsung media session. Swiping just removes the media session (until it reappears because something is played), and long press leads to a menu where you have the option to “remove”, but it seems that is the same as swiping.
You can press on “Media Output” (button in the top right of the media session) to get more configuration options, and there is a cog then, but it only allows you to set “wifi speaker playback preference” and display infos about the media output app - which seems to be this one judging from the icon, although my phone has a newer version: Media and Devices - Applications sur le Galaxy Store