macOS also has the capability to create an aggregate audio device from multiple devices. That's a pretty niche scenario, but I used it and I haven't been able to get something like that working on Windows at all. The fix was to shell out more $$$ to expand the inputs on my interface.
But you can pay money for apps that make it happen, and you can also Homebrew free options like BlackHole. (SoundFlower used to do this, but the more recent MacOS security updates seem to have nuked it.)
On the Mac, you want something like Logic to run, you just go into the Logic preferences, set the output device and the buffer size. You get the low latency you want and other apps are free to use the same device as well. It's the only platform where I consistently get both "all the apps just work without messing with it" and "the pro apps have low latency".
If you want desktop audio recording you can install iShowU or one of the others.
Specifically I'd like to have application A and B play to speakers, and have an output I can record that has application A and my microphone, without sending application B to that output or my microphone to my speakers.
At least to me, this is what "audio routing" implies, so it'd be great if this feature was there and I'd just missed it.