There is an app on the phone or, in the case of some newer Samsung phones, functionality build into Android. However, the problem isn't that audio does not work. It works; it just uses the "wrong" devices for input and output. This is strictly a Windows Phone Link issue on Windows.
The inability to select a device is both a quality issue and an accessibility issue, so I'm surprised Microsoft hasn't taken steps to address it. With respect to quality, my default mic is my webcam mic since it's suitable for applications like talking to Windows (transcribing, search, etc.). It has a "tin can" kind of sound, though, which is horrible for videoconferencing or calls. With respect to accessibility, people who are hard of hearing often need headphones for voice or video calls.
In my case, I use a headset for videoconferencing and audio calls (including Webex, Microsoft Teams, and Skype), but have my default audio devices set to be my desktop speakers since I often listen to music while working. Since this is my arrangement, it's a hassle to change the default devices just so I can use Phone Link. Thus, I don't. I'd love to, though, because it would be really convenient if I could just answer a call on my PC, as I could then talk hands-free.