It's a limitation of screen recording via QTâ€”AFAIK it can only capture audio input (like from the built-in mic), but not audio output (coming out of a DAW). There might be a workaround with Soundflower** (free, but only up to Mojave, AFAIK), but I've never tried that with QT. To record screen video & audio all the trainers at MPV use ScreenFlow (from Telestream), which does a good job of screen/audio capture and is a full-fledged editor as well. You can try it out for freeâ€”everything works, but when you export (as a QT movie or .mp4 video file) it'll be watermarked until you pay for the full version.
A couple of caveatsâ€”I always had to switch the output of my DAW (and the Mac Sound Preferences) to system audio output to capture the audio output from a DAW. And if you have a Mac that uses the new T2 chip (which handles audio on newer MacBooks and Minis), you'd have to use ScreenFlow's new audio driver, which induces significant latency if you try to record yourself playing or recording *live* in the DAW (apparently this is an Apple issueâ€”the makers of ScreenFlow and other companies are reportedly waiting for fuller documentation from Apple to be able to address it). However, for capturing video & audio *playing back* from a DAW it works fine.
** Sidebar: Soundflower is a free audio routing driver that *might* work with QT, but, again, I've never tried it with QT (it works great for streaming high-quality audio from a DAW with OBS). You might have to make a multi-output aggregate device in AudioMIDI Setup, combining your interface and Soundflower, so you can hear the audio and capture it at the same time...again, *if* it works with QuickTime. Development of Soundflower officially stopped prior to Mojave, but the original developer has a version (available through Github) that works in Mojave, though installation is a bit finicky. Beyond that, I think there are only paid options (like Loopback, from Rogue Amoeba), but if you're going to shell out $$$ I'd suggest you might as well go for ScreenFlow.