As a work-around, it's possible to connect the audio output of the console to the PC line-in, and to play the sound to the headset.
The following instructions explain how to do this in Ubuntu, using the terminal.
1. In the gnome sound control panel, select line-in in the input tab.
2. Install paman.
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sudo apt-get install paman
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paman
4. Play with low latency.
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pacat -r --latency-msec=1 -d alsa_input.pci-0000_00_08.0.analog-stereo | pacat -p --latency-msec=1 -d alsa_output.usb-Logitech_Logitech_G35_Headset-00-Headset.analog-stereo
Tip: in case you hear some noise, try to lower the audio output level of the PC.
Enjoy!!