As waxcylinder / Peter wrote, I’m primarily a Linux guy, but from what I recall about WASAPI “Exclusive Mode” is that this mode passes control of a device to one application (exclusively). (Also the sample rate set in the app must match the sample rate set for the device).
“WASAPI loopback” allows the output of a device to be captured from the audio end-point.
From the Microsoft documentation:
A client can enable loopback mode only for a shared-mode stream (AUDCLNT_SHAREMODE_SHARED). Exclusive-mode streams cannot operate in loopback mode.
It then goes on to explain that implementation of WASAPI loopback is hardware dependent - not all devices have the same capabilities.