yeah on windows its.. limited. you can make virtual playback devices (speakers) with programs like vb-cable to separate them. you can then set up monitoring for them so that you hear it and.. you can't mix it with your mic so that's no good.

there was also Synchronous Audio Router. but it's buggy and microsoft made sure it never ever gets an update

I would prefer the setup to be easy on the client side

you mean for the viewers, right? this shouldn't make any complications for them