In my opinion, the promotional video just above the "download & pricing" section on their website explains it all. It even contains a section how to configure OBS.
You need to keep in mind this software is drawing on an invisible canvas overlaying the whole monitor. It has no connection to what is displayed below it, so if you capture a window, you're not capturing that invisible canvas above it. You need to capture that in addition to your regular sources. The video shows how to capture the Epic Pen canvas.
The video is slightly different to what needs to be done with a current version of OBS, for example the captured Epic Pen window is already transparent instead of black, so you don't need the color key filter. And I had to explicitly choose "Windows 10 (1903 and up)" as capture method for the captured overlay source to see the drawings.
For some windows, I was able to grab the overlay by choosing BitBlt as capture method without capturing the overlay, but this isn't capturing all kind of windows and doesn't work always.
This is what I just tested on my Windows 11 PC with the current version of OBS (30.something) and a just downloaded Epic Pen app. If you have an older Windows or OBS, your experience might be different.