Under Microphone Privacy Settings, allow access to your Mic, then switch on access for Sea of Thieves, but be sure to also scroll down and allow Mic access for the "Xbox" app. You can't even change this setting in the Xbox settings cog unless Xbox is allowed access unless I'm mistaken.

Go to Xbox app settings (gear / cog icon) and change the mic settings to either the correct input device, or to use the default device (requires you to make sure the default is set to the right device in "Sound" in the Control Panel as "Sound Playback Options" in Win 10 settings only changes normal input default, not "communications" default input).

Hope this helps someone.

EDIT: As pointed out below by Bran the Ent, also check in your Xbox account settings whether you have allowed communication with others using voice:

https://account.xbox.com/en-us/Settings?rtc=1&wa=wsignin1.0&activetab=main%3Aprivacytab