Self Recording is not a guaranteed service. Earlier Windows just presented all the services and devices and let you straighten them out. Self Recording was one of the services/devices. The more modern Windows simplified the system and some computers have no self-recording at all and need extra software to do it.
Audacity has no dog in any of these races. If the operating system presents audio, Audacity will record and manage it. If it doesn’t, well…
Those are the (only) devices that are available for Audacity to use.
For alternative ways to record sound that is playing on your computer (streaming audio), see the notes here: Windows Sound Control Panel.