Make sure you have selected the correct devices in the games Options->Preferences->Game Sounds panel. It does try to make its best guess, but sometimes it misses.
To properly test it, put your game ID in the 'V' channel of the radio control bar and listen. It should echo back to you. If it does, then it is working. Simply restore the 'V' channel back to 101 and you should be good to go.
If you do not hear the echo back, make sure you are holding down the 'T' key while you talk and then release it so the game will transmit.
