With your
Playback Engine set to
Built-In Output, Pro Tools will only play audio out the Mac's hardware (and has no input) - so you won't get audio from the UMC404HD. You need to
select your device as the Playback Engine.
You might need to
troubleshoot the UMC404HD since it's not showing up in
Audio MIDI Setup. Also check the
USB section of
Applications > Utilities > System Information to see if it's being recognized by the computer.