Where does the "Display Audio" come from?

Display audio can be part of a USB connected display. The icon in the article refers to USB connected displays.

HDMI can also carry audio, and so can Displayport. External monitors that have built-in speakers of their own will have "display audio" when hooked up correctly.

Correct. There is an old idiom, you can't get blood out of a stone. Logitech makes a wide variety of speakers that are great for the Mac. And there are many monitors that do have built-in audio. That's what you need to have that option.