SDR# only plays regular audio. If you want to decode digital signals such as P25 you need to feed the unfiltered "audio" through Virtual Audio Cable (VAC) into to a 3rd party decoder app such as dsdforwin.
Search around a bit here for instructions on how to do that.
It should just be a matter of unchecking the "Filter Audio" box at the bottom of the Audio panel.
You do not need to run VAC to pipe the audio into the decoder apps. Just enable stereo mixer in the recording properties of the sound card.
"What U Hear" Recording - Enable - Windows 7 Forums
While that will work in some regard, it is not the best solution. You see, doing this will capture the audio being played out to your speakers (so in this case, the baseband from SDR#) and send that to DSD. The problem is, when DSD starts producing voice audio, the stereo mix will combine that with the baseband signal and send it back to DSD. Essentially, DSD will interfere with it's own signal, like feedback.
Also, with VAC, you'll be able to mute the baseband signal and only hear the voice. With stereo mix, you'll hear both.