For me, the microphone worked when I plugged in the headphones BEFORE starting VMware Horizon. When I plugged in the headphones AFTER starting Horizon the microphone did not work.
When I plug in these headphones without running Horizon my host OS, an Ubuntu variant, prompts me to choose whether it is a pair of headphones only or if it is a headset with a microphone attached. I’m guessing that it’s possible that when I plug in the headphones after starting Horizon my host OS decides it’s a headset with a built-in mic and then Horizon tries to use a mic from the headphones, ignoring my computer’s built-in mic. Just a guess! 🙂