VOX in general does not seem to follow the system audio output settings. In old Vox there’s settings (VOX -> Preferences -> Audio -> Output). In VOX I could change manually and the I got Audio, but in Universal there are no Preferences (that I could find). Therefor (I’m guessing) I have no audio output from VOX Universal, regardless of my system settings.
macOS Monterrey 12.4
Vox Universal 08.19
Various external Core Audio Sound Cards