Never tried that. Newer versions of CP seem to specifically look for audio input devices in order to record...
(create new project, Recordings > Audio Options > Audio Input Devices)
So I suspect it's looking for either a microphone or an add-on card (i.e. video capture, or USB device) which can provide an audio input. So...I doubt it'll grab 'what you hear' without some sort of method to make that an actual device input...
Risking feedback and poor sound, turn up your speakers and put a mic nearby?
Or perhaps a loopback plug from the speaker out to the line or mic in? That's risking a noisy input though...
I know of a way if you are using a Mac. You will need SoundFlower (it is free) and Ladiocast. The Sounflower will give you virtual audio devices which let's you specify in Ladiocast what inputs you want to blend together. I use it when I teach online so that I can get my mic to blend with my Soundbyte sound effects cart. The online classroom only allows one input sound device, so I just point it to the Soundflower channel 2 while in Ladiocast I select my mic input and Soundflower channel 16 which my sound effect cart has been pointed to for output from it. You may have to play around a little with settings to get it all geehawwing, but it will work. You can take a look at the instruction set I posted in the past for others using the onlien classroom in setting up their soundcart. That may help some - The link is https://www.box.com/files#/files/0/f/192446720/00_Mac_Instructions
Thanks Tammy, this looks helpful.
Unfortunately, the link you provided requires a password to view the shared file.
Can you make it available on a website, or from some other service?