You must update the drivers:
Hit "Windows key + X" on your keyboard to open the Power Menu, Select "Device Manager"
Click "Network Adapter" to expand the menu and right-click "Xbox One Wireless Adapter for Windows" > Update Driver Software > Search Automatically for Updated Driver Software
Make sure that "USB Audio Device" is selected for playback devices under sound settings. To the Left of the Date & Time in the windows task bar (bottom right corner of your screen) you will see a speaker icon, right-click and selected "Playback Devices", then select Headphones (aka USB Audio Device). Hit ok
Once updated all the system and game audio will come through your compatible stereo headset.