Yes, I believe that's exactly what's happening. I've tried every output combination I can try, and no go.Where are you having the audio from SDRSharp output to (it should be the virtual audio cable), and within DSDPlus where are you selecting the decoded audio to output? It sounds like your speakers are playing the output of SDRSharp so you'll just hear the control channel data noise.
I did however discover that the rtl-sdr.bat file stops before completing with a permission error. Maybe I need to delete everything and start over. I honestly can't think of anything else to try.