About the crucial "Listen to the this device" option, see here where it is located:
The contained screenshots are for mic devices, and every virtual audio device has a pair of one mic (recording) device connected to one playback device, so it applies for a virtual audio device as well.
What you send to a virtual audio device is available from both parts of the pair. If you use it as playback device, for example to separate media player audio from desktop audio, the same audio is available in the mic part of that virtual audio device. So you can activate the "Listen to this device" option of the recording device part of the virtual audio device and make it route the audio to wherever you want it, usually speakers or headset. This way you don't need an external mixer. It's all Windows integrated.
Usually, I use this function for monitoring purposes - to make a split-off audio audible again within my headset or my speakers.
I don' use the monitoring feature of OBS for sources that are Windows audio devices in the first place, but only for sources that are created by OBS itself, such as media sources or capture device sources. Usually these are completely silent, because their audio never reaches any Windows audio device. They only appear on the stream, but there is unfortunately no way to monitor exactly the audio that is going out on the stream, so you will hear them only if you connect to your own stream and listen to it (with 5-10 seconds delay and added network load and possibly creating a feedback loop).
So I activate monitoring within OBS for these otherwise silent media sources or capture device sources. But which device should you configure as monitoring device (Settings->Audio-Advanced->Monitoring Device)? You cannot set a device you're recording with OBS, otherwise you're creating a feedback loop. You want it on your speakers or on your headphones, but you can only if you don't record your speakers or headphones with OBS. That's an issue if you are participating in voip chat and want to broadcast your voip chat - you don't want to additionally feed the monitored audio into the chat! For this, you could use a 2nd headset.
Or you can use a virtual audio device instead of the playback device of your headset. Route your voip audio app to that virtual audio playback device instead of directly to the headset and grab that virtual device with OBS, so your broadcast will be fine. Only handle the playback part of the headset, don't change the mic part.
To enable yourself to listen to the voip chat, activate the "Listen to this device" in the virtual audio device and route it to your real headset. And now you can calso configure the real headset device as monitoring device in OBS. With the virtual audio device, you tapped the line between the voip app and your headphone before other audio got mixed into it.
ps. sometimes, Windows doesn't immediately pick up audio if you enable the "Listen to this device" option. You need to toggle it a few times, or close/reopen corresponding apps, or even a reboot might be necessary.