While recording your screen, you can also record your microphone by choosing it in the Options menu. However, there is no way to record audio that is output to your speakers unless you first create a custom audio source using Soundflower (https://github.com/mattingalls/Soundflower) or Loopback (https://rogueamoeba.com/loopback/).
(Also, try hitting space a couple of times in that mode.)