Was hoping others would jump in because I'm interested, but in my professional life I've run into this being called "sidetone". Poly has a decent explanation and I like using the feature on their headsets so I'm not screaming in meetings
There's some gaming headsets with sidetone like Astro's (many models) but this article has a budget pick gaming headset with sidetone called the Steelseries Arctis 1
These headsets deliver clear, life-like audio to enhance your gaming experience.
www.pocket-lint.com
If you're willing to look for something a bit less all-in-one, there are other options:
https://www.reddit.com/r/pcmasterrace/comments/794lxw
Hope that helps, but I really hope someone more knowledgeable than I am jumps in