Yes, of course I meant the GSX audio settings. I see you have a wireless headset. If this device "disappear" when you are not using it, or you are connecting (or resuming from sleep) after you started GSX, you must enter again the GSX audio page and select it again.
Basically, GSX doesn't support switching audio devices on the fly, it's a planned feature, but we don't have an ETA for it.