Yeah, kinda weird problem.
I think its some issue with WavTap.... or with El Capitan and the new security approach from Apple...
Yes, I tried setting the device explicitly but that didn't help.
Luckily I found a workaround, actually two workarounds. So for anyone having a similar problem.
1. I use Soundflower and SoundflowerBed now. So Extempore is using Soundflower as a device which can be used by OBS as audio input and SoundflowerBed is routing the Soundflower output to the speaker/headphones.
2. Use the audio-midi-setup in OS X and create a multi output device, there you can select default speaker and wavtap or soundflower. So the audio is routed to both devices. That did work for me too.
Cheers,
Florian