This (or similar) is a fairly common request. However, since it was first invented, Audition (even in the Cool Edit days) didn't handle routing internally. It relied on the routing capabilities of Windows (this was before it ran on Mac OS). In those days, what you ask for was easy--Windows including a feature called "What U Hear" or "Stereo Output' on the recording selector mixer.
Trouble is, these features have been taken out of Windows (and I assume Mac) under pressure from the RIAA to prevent piracy of music by people who would steal music from online with this capability.
I can't comment on Adobe's point of view on this, both from a technical side but also from the copyright side. I assume it would take a lot of new code--and that's before we find out if Adobe is under the same pressure from the record industry.
I suspect me we some comments from Adobe on this one.
As Bob says this is partly down to what Microsoft/Apple's audio drivers and the manufacturers allow users to do with the audio hardware built into computers. It is relatively easy to do with more sophisticated external USB audio interfaces which usually come with their own mixing/routing apps.