How to record audio received by Connector in my DAW?

Blue Cat's Connector is plug-in, and in most DAWs, plug-ins are inserted after track playback/recording in the audio chain. So while you can hear the audio output of Connector, it won't be recorded on the track.

In order to record the audio received by Connector, you usually have to go thru an aux track (or the equivalent in your DAW) and records its output on another track, as shown with Logic in this video: