AS soon you start using the apps, will start to appear by it self. Please be noted that some application not appear (very hand count ones) and some, like chrome need to be restart in order to work.
There is no need to associate anything. is automatic. For example, if you are using speakers, and use usb headphones, you need to address manually where the audio outputs. Games, not all of them, use system sounds, so will not appear. but most will appear on the list as soon start using it. Steam is a interface. on game you can change that where to use the voce chat, etc. remember is ony 1 source default. and is call system sound. Imagine that I use 2 headphones. 1 on the front panel just for music (itunes or MS app or spotify) 1 for games and discord and the rear output for speakers.
Learn, Play Enjoy!