i recall several years ago when i tried to use my usb microphone headset as a microphone the sound came through the headphones. i do not know of any way to configure this so that the usb headset only functions as a microphone, although going from my past experience i can verify that you haven't done anything wrong. i would, however, be curious to know if there is anyway to configure a usb microphone headset to only function as a microphone....
if you think about it, on a normal headset there are two connectors, one for the microphone and the other for the sound. since the sound and microphone inputs on a usb headset such as your's go through the single usb connector, there would be no way to seperate either of the two physically. the only way i could imagine it being done would be through the device manager or something else of this nature, although i could be wrong....