Hmm, very strange. If your Speakers are set to Default, and OBS's desktop device is set to the Default device, and your game/music player are set to output via the default device (which they should) then I'm not sure why they aren't getting picked up. Does anything happen if you select your Speakers from OBS specifically?
And your mic should be picked up as well, assuming the Microphone device is the device you're plugging the Kraken Pro into. The Kraken Pro is an analog device, correct?