Media players always output one single audio track at a time, they never mix them. If you distributed your audio over 3 tracks with OBS, you can switch in your media player to any one of the 3, but never to all of them at the same time. If you want to hear them mixed, you have to load them into an audio postprocessing software, mix them, and re-add the mixed track to your video. Postprocessing software is able to extract all tracks and do editing/mixing.
For quick preview of your raw footage, you can also make OBS mix them. That's how I do it: Track 1 with both game audio and microphone. Track 2 game audio only. Track 3 with mic only. This way, I can quickly hear me and the game on track 1 without extra software. For postprocessing, I ignore track 1 but instead load Track 2+3 into my postprocessing software and mute/filter/duck whatever I want, mix the result and write the result to the resulting video.