Some applications do not appear as a source for system audio sharing until they have actually made an audible sound on your Mac. For example, if you're trying to share a video in Google Chrome, but Chrome hasn't yet made a sound through your speakers (or your chosen sound output) you might receive the following error:
In this case, Ecamm Live will fall back on capturing all audio that plays through your system output, including the desired application.
To select just the application you want to share, play a sound in that application and try again. You can avoid the problem entirely by ensuring you have launched the desired application and played out a sound before your recording or stream.