So I tried this with my Valve Index but it doesn't work, turns out I had Oculus OpenXR on.
Anyone with an Index opening this game and wondering why it's not switching to VR automatically, I switched to the SteamVR OpenXR. If you're using OVR toolkit and are/have used it in games played through the Oculus store, you will need this fix.
Go through Open SteamVR > Settings > Enable Advanced > Developer > Switch OpenXR runtime to SteamVR. Boot up the game again with SteamVR open and now it should work.