After a couple of weeks struggling with this problem, I decided to call Elgato's support. So, this is what turned out to be the solution.
With the help of the Elgato Customer Support Representative, I discovered that that the
Digital Audio Interface (i.e., the HD60 S+) in Windows was muted:
I got here by going to
Settings ->
System ->
Sound ->
Sound Control Panel. Next I selected the
Recording tab. Then I found the
HD60 S+ in the list…
and double-clicked it. It is on the
Levels tab of that dialogue (see above) where you'll find the mute button. I unchecked it.
Next I ran Elgato's 4K Capture application (the version required for the HD60 S+) to ensure that
Audio input: was set to "
HDMI Audio"
Finally, I had to open the
Advanced Audio Properties dialog of the
Video Capture Device in the
Audio Mixer of the
OBS Studio application. To do so, I clicked on the gear icon and then selected
Advanced Audio Properties from the menu that popped up.
Then I changed the
Audio Monitoring setting for the
Video Capture Device from
Monitor to
Monitor Only (mute output).