There are several setup steps in A+, but the major one is the type of DSD (DoP) you have set up, as well as making sure you have your DAC picked in BOTH the A+ menu and in the Mac's Audio Midi screen.

Check page 28 of the user guide, too.

First use the A+ GUI screen and try direct playback (i.e not use the proxy file setup for iTunes yet) just to test that DSD is working (explanation starts on page 36)

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