Addendum: It's part of the XBox game bar. In case you are wondering where your recordings are, press Win+G.
It didn't work for me the first time - I had to open the game bar first. Also, I had to focus a Window. I cannot record the full desktop with this technique, so it's not quite the same as the linked application.
What is the built in utility you're using on Linux for this? AFAIK, you need to download a separate utility for recording screens on Linux, or it comes with your desktop environment.
MacOS does have this ability via QuickTime, but I wish I could find something that records my screen + audio output. There is are some hacky ways to do this on MacOS, but I haven't found anything super reliable yet. Though, I believe this is more or less intentional by Apple.
I checked your link, and even did a "command + f" search. I saw no mentions of the words "audio," "sound," "input", nor "output."
Without some sort of fancy hardware or hacky software, I am not sure if it's possible -- at least not as of 6 or so months ago when I was looking for it.
To test:
Use the link above and try to record the audio of something like a YouTube video while recording the screen playing the video. If you can manage to get this to work, please share your results. I would be so obliged. This is not my goal of the software, but it's a quick test to show you what I am looking for.
KDE seems to have a choice of 3 programs for that on the project, but at least on my Debian they weren't installed by default with the minimum KDE. Maybe they come in the full installation.