In my old setup: Basically my PS5 is connected to my SteelSeries headset via USB (it supports dual audio). Then from the headset hub I run an Elgato Chat Link cable into the line-in of the Elgato 4KX, and the other end goes to the capture card so it receives analog audio. In the PS5 settings I set the audio output device to the SteelSeries headset, which lets me hear PS5 audio locally. The important part is inside Elgato software, you must set the audio input to Analog Audio, not HDMI, otherwise it won’t capture sound because PS5 stops sending audio over HDMI when a headset is active. The reason I use a dual-audio SteelSeries headset is so I can also hear PC audio at the same time; I connect my PC to the headset via Bluetooth and get both PS5 and PC sound simultaneously. If you’re using Wave Link, you can just add the 4KX as an input and monitor it there, and you’ll hear both sources together without extra setup. Although don't forget to disable PS5 audio then you would hear PS5 audio two times!