I'm confused by the behaviour of input and output

I have a laptop with it's own speakers and a USB Blue Yeti microphone connected to it. I configured the hardware this way:

Now, the weird thing is this. When I press play in Audition to listen what I just recorded I can only hear it if in Windows I select Blue Yeti as my audio output:

If I select my speakers as outout, nothing comes out of them, if I select my microphone as outout, sound comes out of my speakers. What's going on?

The second problem is this. Even though I'm almost reaching red on my recording signal, when I play back it's quite quiet. Changing the volume of my laptop has no effect, the volume of playback doesn't change (other than if I lower it all the way to 0, the playback gets properly muted). Any ideas what's going on here?

Is there a way to have this work sensibly? I tried using WASAPI as the interface and the result was horrible mess of crackling noise.