OK, I can use the updated Windows 11 Sound Recorder, which allows me to do a quick capture of my musical idea coming straight out of my VST instrument and I can quickly select the captured sound source without messing with the Windows sound settings. So this for now would be my PC-only solution, and I would then drop the file inside Evernote desktop or web.
But another A-HA moment, if I want to use the built-in audio note recording feature and don't care about audio quality too much, I can use my phone (or desktop) to do it and put it right next to my speakers. My original query is at this point I guess a feature request so that on Evernote Desktop one can select the incoming sound source, just like the Windows sound recorder allows. This would allow a direct connection and cleanest audio.
I guess I'll close this thread. Thanks everyone.