After connecting your PX1 to the PS3, you have to configure the setup so that the chat plays through the speaker output, which means you'll hear the talkback in the X1 headphones. You can do this by setting the PS3 to play the chat "talkback" (i.e. the voices of other play-ers) through the System Default Device (which is the PS3's audio outputs). Here's how:
1. After powering on the PS3, go to "Settings" > "Accessory Settings" > "Audio Device Settings"
2. Click on "Input Device" and select "USB Device" from the options.
3. Click on "Output Device" and change "USB Device" to "System Default Device"
4. Click on "OK". Be sure you DO NOT select "Connect Bluetooth"!
5. Back out of "Audio Device Settings" to pull up the "Accessory Settings" list again. Now select "Voice Changer".
6. In the "Voice Changer" screen, adjust the microphone level so the bar graph barely reaches the red area when you speak loudly. It is not recommended to set the level past 2. (Level 1 is usually sufficient).