Does this game not support it? There was sound in the title menu -> introduction scene -> character creation menu. But as soon as i click on my character to load it, the sound dies off from then on. The first time i tried this, the opening cutscene (without sound ofc) took pretty long to load too.
My headphones are sony MDR-1000X, running the game on windows 10 home edition, if that helps.
Would like to note that its been like this since the beta, i thought it would have been fixed by now.
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The only way to get high quality audio from BT headphone is to disable the headphone's microphone. Or you can get low quality audio + microphone by choosing the other output option that your BT headphone has, in the sound settings.