You could use your Sony headset if you select that as your default audio device. The problem is that Phone Link will not let you select a device to use, only using whatever you specify as a default device in Windows. Phone link doesn't care what that is.
What I would like to see is an option in Phone Link to select the preferred audio device to use by Phone Link, just as I can do in Skype, Webex, Zoom, and every other application one can use for communications.