System settings can only influence system sounds and audio playback and recording of general sound, but not sound of more professional audio programs. In these programs (and SoundJack works the same way) you ned to select the sound source and destination in the application itself.
In SOundJack you need to select the USB-mic at the input menu of the Stage below the IP-address.
Since the mic has no headphone connector, you can use it in a Mac but not on Windows. It does work on windows, but only if you don’t want to hear anything which does not make sense.
The reason is that Windows needs the same driver (ASIO driver needed for Windows) to be used for input and output.
So with your Mac, select the USB-mic in the left column of the stage at the input select (below the IP-address), select the integrated output of your Mac (that is speaker or headphones if plugged in) for output, plug your headphones in your Mac’s headphone jack and connect to somebody (if you use a mirror, switch the passthrough sound of yourself off by turning down the volume in the left column).