I use the Vive but I'm guessing it's the same sort of thing. There was an option somewhere for me that when I turn VR on, I can switch the default audio device and mic device to the correct ones. And then when I turn VR off, I can switch them back. Those options were in the SteamVR setup for me.
Failing that (or if it sometimes doesn't switch correctly) then you can just force the system to choose the audio device through the normal volume control box. I have noticed occasionally Elite does put audio out the wrong device, but that last option always fixed it for me.
And yes, this game is amazing in VR [yesnod]
They do, it's under settings -> devices -> then click on the rift HMD itself.
You have the option for Windows default, RIFT, and both, as in a mirrored output.
It is a bit odd though with the oculus, if you use the oculus home environment to start, it uses the oculus setting (defaults to hmd of course) if you launch elite from an old install or a game outside the oculus home it uses windows default output, so you would have to manually shift that to the HMD before starting.
I have taken my rift's audio phones off, and just use my wireless cans instead, mostly because the mic in my rift sound a bit buggered.