There are some attempts to capture audio directly from a specific app, and some of those attempts come natively with OBS, but I've never seen one work *reliably*. The older "entire device" captures are practically bulletproof, and so I still recommend sticking with those...unless you want to be a long-term beta tester with no guarantee of functionality.
Thus, everything that you want to isolate, must connect to its own dedicated device, which means that you need multiple devices with different apps connected to each one. Those devices can be either physical or virtual, but they must have separate entries in the list of available sound cards. Connect just one app (a game, for example) to one of them, point OBS's Desktop or Audio Output Capture to the same one, *then use a different one for OBS's Monitor* to feed your headphones, and you should be all set.
Except for the additional latency (delay) of a second trip through the operating system's audio handler:
Game -> Device 1 -> OBS Capture and Monitor -> Device 2 -> Headphones
If you can't handle the extra delay, then you probably need all of those dedicated sound devices to be physical, and then wire them to an external mixer that then feeds your headphones. As before, OBS captures one of those devices, and sends its Monitor to another, except that now you *don't* Monitor that capture in OBS.