In an interview with Wired, Microsoft's Phil Spencer confirmed the company has no plans to release a first party virtual reality device. While Microsoft has its HoloLens, the goal is really to kickstart the ecosystem rather than to put something out there themselves.
But when you do play VR on Project Scorpio, what exactly will you be putting on your head? Spencer isn’t saying, but it won’t be made by Microsoft. “Right now we are not focused on a first-party VR hardware device,” he says. He didn’t call out any particular headset that might plug into Scorpio, but noted that Microsoft hoped to “enable many hardware manufacturers to make progress there.” So it might be a BYOHMD situation. Maybe you even already own your Xbox VR headset.