Set Performer audio and video devices in settings/Performer, and audio ports in the performer Monitor mixer.
If you don’t hear Performer, make sure “Performer” Monitor dial is up, and that you have the VST Connect Monitor plugin active in the Control Room. Note: this is inserted into the Monitor section of the Control Room by “Create VST Connect”; if you use “Phones” instead, you may have to move that plugin there.
There is also an in-depth documentation at https://connectvst.com/