I doubt it is creating any files (wav or other), but playing to your speakers is not helpful. It needs to create a virtual microphone device so that other windows programs can use the audio. Get the headset app.
Or you can select "what you hear" as your default input, bit this is a messy solution, and you won't be able to use your system to play any audio, since it would be rerouted back to the input.
You could probably also use VAC bit this is more expensive and more complicated than getting a new app.