I have experienced that kind of thing with my VR Oculus headset. In addition to the moving games, It was a short concert of somebody playing guitar and singing. You start with the sound at your back and do not see him. Then you turn your head and as the visual turns around you hear the guitar and his voice turning around until you look near his face and listen directly with sound coming from the front near you. It was a very very immersive thing. Very progressive moving, very real. You were there just at the side of the player.
This was a very amazing sound render, depending on your head position. Was it Dolby or Apple? Who renders sounds for Oculus or others VR headsets?
That kind of sensations are impresive with the aditional visuals to get you there, but without visuals, only sound changing direction as you move your head, is another kind of immersion that could work well. Really, this is nothing more than the emulation of what we have in our home cinema room with discrete speakers. As you move, the differentt sounds remain where they are. They do not move with you as you turn you head, as they do with traditional headsets.