For security reasons, AudioRelay can’t listen to the audio of your device on macOS. Apps can only capture what comes from a microphone. You need to install a virtual audio device that can route the audio output to a fake microphone.
Here are some virtual audio devices available for macOS:
BlackHole (Free, open source, advertised as 0 latency)
They provide a 2ch and 16ch version
Install both if you'd like to send audio in both directions