I had a similar, but not identical situation, while trying to capture of a DVD video for my mobile. When I captured a segment of video to test my setup and I went to play it back in the player window, I got the video but not the audio. So I tried the various things previously noted re inputs/outputs etc. Then I realized that the Vu meters at the bottom of the Debut Video Capture window were active during recording. So, after many frustrating attempts with all the in/out configurations, I went to try one of the captured test vids in DivX player. Presto....I had sound and video.
The real problem appears to be that THE PLAYER IN THE POP-UP WINDOW DOES NOT PLAY AUDIO!
It seems that we've all been chasing our tails. I don't know if this is a feature or a defect.
Anyway, I hope this helps someone else avoid hours of frustration. Other than that, the proggy works just great.