I have Windows DirectSound selected, and my speaker output set to my plantronics headset, and my microphone set to the plantronics. It records fine, but the output does not go to the headset. If I change the output to my laptop speakers, then I hear it. This same issue does not happen in other programs (Camtasia for example).
Audacity has its own sound pathway settings.
Edit > Preferences > Devices > Playback.
If you have USB sound systems, plug the USB in first and then start Audacity.
Koz