iTunes Movie Audio Over AirPort Express?

So I went to play a movie downloaded from iTunes and it only plays through the computer speakers rather than my stereo via AirPort Express like all the music in my iTunes Library.

Is this normal or do I have to enable that feature somewhere? The reason I use AirPort Express to stream audio is the MacBook's speakers are too soft to hear the music well. The problem is worse with movie audio. There is no reason I can think of that this feature should not work with movie audio.