This is likely an issue with Windows, not the game. When you plug in a new audio device (the controller has a headset jack, thus counts as an audio device), Windows thinks it's being clever and helpful by automatically switching your audio input and output to use the controller. It's a real pain, there's no way to turn off this "feature," and the only way to prevent Windows from switching to it every time you plug it in is to disable the device, either through Windows' Sound Settings or Device Manager. Luckily the audio portion of the controller can be disabled without disabling the controller itself.