Which settings are you referring to?
The dropdown controls in the lower section of the "Audio" tab of the VoiceAttack options window show the Windows default devices, unless you manually change that option.
If you do manually change that option, it will not do anything unless you either click the "Change Now" button next to the relevant control to change the Windows default device to the selected device, or check the "on Startup" option above the control to have VoiceAttack attempt to change the Windows default device to the selected device when it starts.
At any other time, Windows can freely change default devices if devices are connected or removed.
If you want to explicitly set certain audio devices as Windows defaults without having to go into the Windows settings, or the "Audio" tab of the VoiceAttack options window, you can use the "Change Default Audio Devices" action in a command.
There are also the "Override Default Playback Device" and "Override Default Text-to-Speech Device" options which determine to which device sounds and TTS will be played, respectively, regardless of the Windows default devices, provided the sound/TTS playing actions in your commands are set to use the default device.
Note, however, that these options can only be changed in the VoiceAttack options window, so they are not really intended for constantly switching devices.