My AverMedia game capture card keeps showing HDCP error when connecting AMD RX 580 (or other RX series) graphics card. What to do?

This error is received when you're about to capture from your PC (either Current or Other PC setup) and your AMD GPU is set to HDCP on mode. In order to fix the situation please enter AMD Radeon utility Display settings and make sure to disable HDCP as shown on below screenshot.