That is exactly what those options are for: Changing the Windows Default audio devices (which is why they are labeled as such, and why you see the warning dialog).
If you don't either check the corresponding checkbox, or click "Change Now", nothing will happen.
If you want to change the device VoiceAttack sends audio to (I.E. for playing sounds and text-to-speech), use the "Override Default Playback Device" and "Override Default Text-to-Speech Device" options.
The speech recognition engine will listen to a specific recording device; You can change this setting, noting that it can also affect other applications using the Microsoft Speech Recognition engine (E.G. the built in Windows Speech Recognition application), using the "Windows Speech Recording Device" option on the "Recognition" tab.