Hi,
Do you mean that the headset is connected to the windows machine (server) – you can hear audio from Windows with this headset outside the session? I know you wrote it but I want to be sure. Do you connect the headset before or during the NoMachine session?
If the bluetooth device is connected to the client machine, you should see it on the device list in NoMachine settings (click on right up corner of the NoMachine window, then go to Audio -> Change settings). You can set it as an output device on the client side.
But if your headset is connected to the server, we will try to reproduce the issue and fix it.
Regards,
Kuba