Video captures often appear as two separate devices: silent picture and blind sound. You found the picture, but the sound is probably a "new sound card" as far as the computer knows. See if you can find that.
Also, cheap video captures tend to have haphazard design and manufacturing issues, as well as just blatantly deceptive marketing. So it's also possible that you got a dud.
But see if you can find a "new sound card" first. Same as if you plugged in a USB mic by itself.