When you add a MacOS Screen Capture source, and "create new", the next window lets you choose between Display, Window, or Application. If you pick one of the latter two, you can then pick which one to capture.
Note that Window capture is not persistent - it's tied to the exact window you picked. To keep the source tied to an apps' window over time (quit/relaunch or keynote going in and out of presentation mode, for example), you need to use the Deprecated Window Capture source (at the bottom of the source list).
