Does Milo need a headset?

No, you don't need a headset since Milo has an integrated speaker and 6 mics. Therefore we don't include a headset. But if you want to use headsets or headphones, you can connect a wired headset or headphones to Milo's USB-C port. You can also pair a Bluetooth headset or headphones (read more in How do I pair and connect Bluetooth headsets?). 

Starting in v. 11, you can choose to use the external mic on many USB-C or Bluetooth headsets. The Microphone Preference setting (in Milo Link > Advanced Settings) controls which mic is used when a headset is connected. Milo still uses its built-in mics for Proximity Mute, so mount your Milo unobstructed and  close to your mouth even when you use a headset.

Read more in Using headsets with Milo