If I right click on an audio cue and Play it, I hear nothing:
Real time audio is maxed:
It seems the Editor preview audio is being sent to the audio device even though headphones are set as default audio device and the sounds play through the headphones in PIE:
Hello kkkiwi,
If I understand your question correctly, it appears that you will need to set up what device you would like to use through SteamVR. You can right click SteamVR > Settings > Mirror > select audio device. There are a few other options that you could look into as well. I hope that this information helps.
Make it a great day