I replaced my EMU 1820m with PCi card with the Roland Quadcapture USB. I could record online audio into sonar or Amplitude with the EMU, I guess because of it s multiple assignable ins and outs. how can I do that with the Quad? I am not sure how to use "Direct Monitor". Can I make use of the coax ins and outs. Can I get there from here with the Quad? Is it a limitation of USB DSPs?

Easy way, go out of an out cable into an in.

You just need to select the input in the tracks dropdown menu in sonar to the correct one that the youtube video sound is going into.
That is the easiest way. No need for hooking up cables.

Get the free version of Real Player. It will allow you to save the videos and it allows you to convert the resulting file to an MP3. That's the easiest way I've found.