I bought an audio interface (m-audio m-track duo) and a rode VXLR+ since I need to use my gaming headset microphone on it. It works good, but I'm asking if keeping the phantom power up can damage my equipment, and if it is safe to switch on and off the phantom power if the headset is plugged.
The VXLR+ is designed for working with phantom power and it converts it into a voltage safe for a headset (the specs say 3–5V). An audio interface with switchable phantom power will survive switching phantom power. So will the VXLR+. The involved currents are not large, and all of the involved devices are designed to work with the respective voltages (and the resulting currents) for indefinite amounts of time.
Switching phantom power on/off will usually generate a large pop on the output. If you have an amp directly monitoring the mic, this can produce a pretty large bang. But that would also be the case for just hot-plugging the headset microphone into anything providing it with power.
In short: it is hard to imagine anything that would become more problematic by your use of phantom power here.
Phantom power is only used by what needs it. So if you plug in a dynamic microphone for example, it ignores the phantom even if the channel is enabled for it.
Usually gaming headsets do not require phantom to use, but without knowing your specific model I cannot give you a definitive answer.
Also, unless it has a separate cable for you headphones and microphone, if you plug in your headset as an input, it would not work as headphones anymore.
Hope this helps.