Well after looking at the Microsoft phone link troubleshooting page I found this gem.
Why can't I use my Bluetooth headphones on my PC to get calls from the Phone Link app?
The Phone Link app does not currently support relaying a phone call from your Android device to a headset over Bluetooth.
I would like to clarify that the bluetooth connection for Apple phones are not supported either. It was when I first downloaded the app but then an update happened and now my headset doesn't work. My phone is connecting with options to use headset, computer or speaker, but my Sony headset does not work.