My company poilcy says headsets must be worn from taxi to TOC and TOD until parked. I usually take my headset off for long cruises.
One the point of missing radio calls, I can't say if headsets or speakers make any difference. I think it all depends if you're paying attention or not. The cockpit gets a bit more chatty during the crz, so the missing of radio calls could be due to the speakers or lack of attention. I don't have any facts to support either supposition.