This is most likely because the DPSReflector device is not set to be your primary output device in the OSX Audio Settings. The simplest way to walk through fixing it is to click the (?) icon in the lower left and follow the Setup Helper instructions.
We cover the virtual audio driver signal path concept here: https://bongiovidps.com/support/how-it-works/
If you are still having issues with not hearing the effect, please open a ticket at https://bongiovidps.com/account/support/