I use a Logitech G35 headset and never had this issue before. When I play BF3 with a headset, I always hear other player voices/chat through my headset along with the game audio (basically all audio through the headset which is what I'd expect) whether I'm using Teamspeak or in-game audio.
I tried Neverwinter online (great game btw) the other day with my headset on and the game audio came through the headset, but the other player voices/chat came through the front speakers of my 7.1 surround system. Additionally, my voice did not transmit to other players.
Is there a special way audio needs to be configured in Neverwinter to use the headset as expected?
More about :game neverwinter online headset audio issue
Each game utilizes sound channels differently through third-party sound cards or Realtek Audio Codec, since this is an issue with one game, all you need to do is find the correct combination of settings in your sounds for Realtek or the right audio port, whether you are using Dual Analog or USB. Dusting the insides of the ports also helps remove any static.
Update... I was able to get voice working through the headphones with the rest of the sound by going to the Chat audio options in-game and switching the chat voice output to the speakers and then clicking apply and then back to the G35 and then clicking apply only after establishing the voice chat session. It's kind of a clunky way to have to do things, but it works pretty well when it works.
Used the same method yesterday and it was pretty garbled and delayed because the other person in the two-person party was having obvious connection issues.