Screen recording on a Mac with sound included

The Options menu on that Shift Command 5 bar has a Microphone section and it defaults to None, so pick your mic there and you'll at least get your own voice. But that's the catch: the built in recorder only captures the microphone, not what the Mac is playing, so the other person on the call still won't be in the video. For both sides you need something that captures system audio. OBS can do it on recent macOS versions with its macOS audio capture source, or you install a virtual audio device like BlackHole and choose that as the mic in the recorder. For a call walkthrough the simplest thing is often the call app's own record button, Zoom and Teams both have one.