Here's how I fixed mine.
In DeskFX top menu, I click on File. Then in File menu, I clicked on Options. I was then presented an Options window to select which audio output devices will use DeskFX. The options listed my 2 output devices: Intel Display Audio and Realtek Audio.
You can select multiple by checking on the check box. I selected HDMI. My default Audio output at this time is the HDMI. After selecting, I closed the Options window and went back to the main window. I then restarted my computer.
After restarting, I went back to DeskFX and clicked on the power icon to turn on the effect. It still didn't work. I went back to the Options window and was surprised the HDMI box was unchecked. I checked it again and went back to main window but still didn't work. Went back to the Options window and HDMI box was again unchecked. I began to suspect that you cannot select your current default Audio output after installation.
I opened Windows Settings and opened Sound. I then selected RealTek as my Sound output device. Then I went back to DeskFX Options window and selected HDMI. I closed the Options window and then reopened it to check if the HDMI was still checked. It's still checked. I went back to Windows Sound settings to select HDMI as my Sound output device then I went back to DeskFX and it worked.