When I wear my AirPods Pro and I say “Hey Siri”, Siri works and the little glowing icon shows on my iPhone however I don’t hear Siri’s voice through my AirPods so I don’t know when to state my command. Is there a setting I am missing or have turned off so that I can hear Siri through my AirPods?
I am a little confused, I may have misunderstood the question. 
If you are saying “Hey Siri”, there is no reaction. Just follow up with your request after saying “Hey, Siri”. Siri will listen and deal with your request. If and how Siri will answer your request by voice depends on the type of your question.
Will Siri answer if you ask a question like: “Hey Siri! (no pause) How’s the weather tomorrow?”
“She” should just answer.
If not, there could be a misconfiguration on the device that actually is handling the Siri request (not the AirPods):
Check the section Change how Siri responds (make sure that “Spoken Responses” are active).