It appears as though Microsoft will be holding off of revealing a virtual reality headset for their consoles at E3 2017 this year. While Microsoft is indeed working on VR, they are focusing on getting it right on PC first before they get it on the console.
In addition to that, Microsoft believes that console VR should be a 'wireless' experience, not a wired one. So, the developers will focus on getting the technology right before they put it on the Xbox One or Project Scorpio.
"Our primary focus is making our mixed reality experiences a success on Windows 10 PCs,” said Alex Kipman, technical fellow at Microsoft, to Polygon. “We believe that right now a Windows PC is the best platform for mixed reality as its open ecosystem and enormous installed base offer the best opportunity for developers, and Windows offers the most choices for consumers.
“Windows has been the birthplace of a variety of technologies, and we believe this will hold for mixed reality too. Given the efforts we have underway on Windows for mixed reality, and our belief that console VR should be wireless, right now we are focused on developing mixed reality experiences for the PC, not on the console.”
This means that we shouldn't expect Xbox VR to be at E3 or in stores alongside Project Scorpio. At least we know we will be seeing Project Scorpio there.