First off, that capture card is dirt cheap, and is therefore suspect for deceptive marketing. Don't believe anything it claims, and figure out for yourself what it's *actually* capable of.
It's very common, for example, to have all kinds of hype about USB 3 and how it's better than USB 2......only to have a USB 2 chip behind a USB 3 connector. So it's limited to USB 2 *despite all the hype*! This means it can't give you HD video without compressing it *in the card* just to cram it through USB 2. So you lose some quality before it even gets to OBS at all.
Best is to use an internal capture card, but if you must use USB, stick to the name brands just for some semblance of honesty and accountability, and expect to pay about $100 per channel.
Also, see if you can get one that supports Linux, even if you'll never use Linux yourself. The reason is that Linux has (almost) all the drivers built-in, to support the already-existing standards. If it works on Linux, it probably means that they've followed one of those standards instead of rolling their own that then *requires* their proprietary driver to work at all. When (not if) they then abandon that product, the perfectly-functioning hardware becomes e-waste. But if they followed an existing standard, as usually evidenced by working on Linux, anyone can and someone likely will write a new driver for each major system to make that standard work forever. Non-moving hardware rarely fails beyond the initial warranty, as long as you take care of it.
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Anyway, OBS has an audio Monitor, and Windows has its own passthrough. Both of those will get you audio from an input device (the capture card) to an output device (your headphones).
Either way, you'll have a problem if you also Desktop Capture the same device that you listen to, because the Desktop Capture is literally *everything* that that device does, with a pedantic definition of "everything". So it includes OBS's own Monitor if you send it there, and Windows passthrough if you have it enabled, etc. Same for the Audio Output Capture.
