It didn't occur to me that GV would use DirectPlay, but then again I'm still to be convinced it does (see my setup below).
Any way, you _can_ host a GV session, but you have to do it indirectly, i.e. you run the GameVoice server (downloadable from the GV website.
I have it set up as a manual service on my ISA server (so I can run it up only when necessary), and I've added a Packet Filter in ISA for it (you can't use a Server Publishing as Microsoft give you no way to bind the GV server to only one IP). The filter is set as follows:
Type: Custom Protocol: UDP (17) Direction: Receive send Local Port: Fixed Local Port: 9110 Remote Ports: All ports
This allows me to host a session from any Internal workstation by setting it up on the GV server, and then others on the Internet can join them.