That a device is muted when switching to another device is in itself not unexpected; that is done to allow the speech recognition engine to cease recognition (otherwise, when there is background noise on the device being switched from, switching may not be possible)
However, the intended behavior is that both devices (the one being switched from, and the one being switched to) are only muted momentary, and then unmuted again.
As your VR device was plugged in, it appear to behave similarly to the original Oculus Rift (possibly others as well; that's just the device I'm familiar with), in that while the device is physically connected, the virtual devices it exposes for audio aren't initialized (and thus "connected" from a driver perspective) until the software for the device is running.
The issue may have something to do with how the devices are initialized, which events that generates, and how the devices respond (or don't) to the mute and unmute instructions, but without actually having such a device to test with that's not necessarily feasible to pin down.