Weird software playthrough issue

So I have software playthrough on so I can output that sound through the headphone jack to my backup zoom recorder. For some reason when I do that it sends the audio to my imac speakers instead of going through the headphone jack. I got it to work on my old desktop but i seem to have forgotten how to do it with my new one. Can anybody help?

Windows guy here. You may need to plug in your zoom recorder prior to starting Audacity; otherwise Transport > Rescan Audio Devices, then Audio Setup.