Elgato files can be kind of tricky. They either work or they don't. In fact, the Elgato comes with its own video editing software that's designed to work with the Elgato's captured video.
You will definitely need to have Quicktime 7 installed on your computer in order to use m4a files, per the program's requirements. Do you have it installed? You can opt not to install the Quicktime Player or you can disable the Player file by changing its suffix for security reasons -- but you do need the other components.
That said, you'll always get best performance with Premiere Elements if your audio files are WAV files. So converting may be a good idea also.
I'm assuming there is no way to change the file format it outputs to in Elgato's software?
I don't know Elgato well enough to answer that, Justin.
Okay, well downloading Quicktime 7 worked. Thanks for the help.