This is not a supported feature, so we cannot help you if it doesn't work.
Sound is bi-directional. A mic plugged in the jack connector can send audio to the server.
However it won't work with a usb device.
You will need to make sure that on the server Windows Audio is enabled:
- run services.msc
- look for Windows Audio, right click on it and select Properties.
- Check that it will start on startup.