If you're referring to the "Listen to this device" checkbox in the Windows control panel's "Sound" applet, and you have that enabled but you don't hear anything when you speak, that's your microphone and/or sound card not producing any input to Windows, not just VoiceAttack.
Have you looked at the "Levels" tab in that same applet, to make sure the volume isn't turned all the way down, and that there's no red icon over the speaker button to the right of the volume slider?
Is this the microphone in your VR headset?