When the Performer can hear himself thru VST Connect SE Performer (meters move when he speaks? Is it louder for the performer when he raises the Mic Volume fader to the left?), all should be well. Are you sure you have a track set to monitor on your end?
We did have a case where the audio stream just wouldn’t work (fixed in a future version). The workaround is to change the Performers’ audio upstream rate after the connection is established, so give that a try. You can drop me a PM if the problem persists.