Just for anyone who might experience this too: I had the same problem. Everything seemed to be working: driver installed fine, blue LED on the receiver always-on, and the volume meter of the Vengeance 2100 (listed as Vengeance 2100 Headset, but under Speakers, oddly) gave a signal. No sound. Since I had a Vengeance 2000 I checked if anything was left in the registry et al after uninstalling its driver and software. Several restarts and reinstalls of the 2100 drivers and software, still nothing.
Then I swapped the receiver from my (powered) USB hub to a front internal port on the PC and after another restart it worked perfectly!
The 2000 never had this issue on the hub, but hey ho: it works.