Question / Help New to OBS Studio. Question about audio

I have used other broadcasting software and in those other programs the audio of the sources always came through to my headset from the broadcasting software. Does OBS not do this? I can see the volumes on all the sources go up and down in the sliders section of the software but I can't actually hear anything. Is this normal? I'm sorry if I'm not explaining myself right.
 
Thank you. I was using XSplit because I have a Hauppauge capture device. I didn't realize OBS had support for it until I saw a post in another forum. I'm so glad I can start using OBS now.
 
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