One "limitation" of the PC - at least when we're dealing with what Windows offers you by default - is that a PC does not support aggregate audio devices like the Mac does. I'll get to defining that in a second.

Both Mac and the PC DAW software elects to communicate with only a single audio "device" at a time. MODX functions as an audio interface and, by default, you can only have a single audio interface assigned as a device under Windows. Therefore, if you want to record from MODX, you can only playback to MODX (a single audio interface).

Mac has the option to assign more than one audio interface to something called an "aggregate (audio) device" as part of the built-in operating system functionality. Apple describes as such:

With an Aggregate Device, you can use audio inputs and outputs from different devices at the same time with Logic Pro, GarageBand, MainStage, and most other Core Audio-compliant applications.

When you create an Aggregate Device, you combine the inputs and outputs from multiple devices so they appear as a single device in an app. You can use an Aggregate Device to increase the number audio inputs and outputs available at the same time. You can also use an Aggregate Device if your app doesn't support using separate devices for input and output. Some apps not made by Apple support separate devices for input and output only when combined together in an Aggregate device.

This may be why you can record from MODX while playing back to the PC speakers on a Mac.

With a PC you would need to install a 3rd party application to have similar functionality as an Apple "aggregate device". Voicemeeter is an option. So is ASIO4ALL. The problem with going this route is that these applications can introduce latency to your audio signal path.

The expected audio connectivity is to have speakers (monitors) connected to your MODX where now you can use your MODX as both audio recording and playback without the need to interface to a second audio interface.