Of course it's possible, just not done yet. If games can have full 5.1 surround sound (HL2 just one example that it works awesome), then it's not unthinkable to use similar technology to send VOX sounds to a headphone speaker only.
Of course, I will state the same thing I always do when talking about HTC's vox though... It would be really nice if VOX just worked properly the way it is now (i.e. no more lost vox, or loss of volume, etc.)