This is a known issue in the Lync 2010 client, when the user is PC to PC, they loose the bottom left icon to switch audio device (they can still change it via the options menu).
However it does work properly with the Lync 2013 client
EV User 4.0.7577.4356 (Oct 2012, CU7)
PC to PC User: Icon gone
On 2013 RTM it appears, same PC to PC User