I noticed that although I can control the sound volume from the headset, the sound comes only from the PC speakers and not from the headset, is it how it works  ?

There's a tick box in the Pimax play software for using the headset speakers, is that ticked?

On the task bar click the speaker Icon and make sure the crystal is the default output device. You can also select the output device in the simulator 

It is configured in Pimax Play as the default audio output device. At the Windows sound panel it doesnt appear as an option (I had Oculus Meta 3 before and disabled it) , and when I chose to add a new device, it doesnt appear at the searching. (of course Pimax Play is active and the headset connected)