I have the same problem and am wondering if it's meant to do that. If game capture is open before I start streaming/previewing, it will say device is in use by another application. If I start the stream and/or preview before opening game capture, it will work within OBS.
Is this how it's supposed to behave? It's frustrating, because I often capture the gameplay with Elgato in tandem with the stream so I have footage without chat and facecam over it. If this really is the case, I can't use Elgato as a global source, which isn't very efficient.