Pull down the "Final Cut Pro" menu at the top left of the screen. Select "Audio/Video Settings". At the bottom of the new window you will see a pull down menu for "Audio Playback" Set it to "built in audio" and it will play through your computer. Change only the audio setting not the video. Hope this helps
I still don't think you can hear capture audio when you do this. The only way I think you can hear it is coming from the device that you are capturing from. At least this has been my experence. I could be wrong we have all our decks going into a mixer so we just pull a monitor feed off of that.
In log and capture mode, click on the "Clip Settings" tab. There is a preview check box to click in the audio section. You'll need to do this each time you capture.
Why it's not set to play audio as a default is beyond me.