When you use macOS Catalina's built-in screen recording you'll get audio only from the microphone. If you want to record the audio coming out of the system and apps, you'll need to install a third-party extension. One company provides an extension for free that you can use with their software or just with macOS QuickTime screen recording.
How To Record Your Mac Screen With Audio, December 2020.
Link: iShowU Audio Capture