The ability to hear yourself talk while you chat is referred to as "mic monitoring" or "sidetone," and some people find it essential for more natural conversation; I find that without it I tend to shout, especially if the earcups suppress a lot of external noise. You generally need to have a USB connection -- either a wireless dongle or wired -- in order to get mic monitoring to work, and many times it's dependent on the software utility that's provided by the manufacturer, at the very least to control the volume of the monitoring so you don't blast yourself with your own voice.