It's either a bug or I also don't know how to use it. I haven't had the time to properly investigate but here is what I noticed so far:
If I send commands to my Wingmen, they fulfill the order given, I just don't hear any response from them over the radio nor any call outs.
If I talk to ATC I think the my radio requests are also received because e.g. the radio messages in the com menu move from one stage to the next, e.g. request approach -> request landing etc. But I never hear any response from ATC.
I played around with the volume knob on the radio but it didn't solve the problem.
Haven't tried AWACS so far but I guess it is the same. I read in another thread about someone who couldn't hear AI AWACS on a Multiplayer server but his wingmen could hear the response from AWACs.