In Fallout 3 the Power armour had it's own sound effects. Voices would sound like they were talking through an intercom and the footsteps sounded like they were actually walking in Power Armour. In New Vegas, none of this is present. Is this a bug, or was it intentional?

Umm, I have Raul in PA, and his voice does sound as different as you could expect from a Ghoul.

Hmm. Well everyone in the Brotherhood of Steel that I've seen wearing Power Armour doesn't sound like they would have if they wore Power Armour in Fallout 3.

They do sound a bit different, but that's to be excpected when the voice actors are also different.
Or maybe they forgot to properly implement the effect? I dunno.

It's not just the voices, though. The footsteps sound normal now. Here's an example of what I mean: http://www.youtube.com/watch?v=64CrenzF77Y

In the video, listen to the footsteps.

I don't know about the footsteps but the sound effects are different. Talk to your companion with a power helmet on, then take it away from them and talk to them again. You'll notice the difference - but it's not as apparent as it was in FO3.