External DAC Doesn't allow Spatial Audio

When I connect an external DAC (Audioquest DragonFly Cobalt) directly to my MacBook Pro, with a pair of non-Apple headphones, turn off lossless audio and enable Dolby Atmos in Music preferences, the spatial audio icon does not appear when playing tracks.

If I turn off Dolby Atmos and enable lossless audio in preferences, then I do see the lossless icon when playing tracks.

If I connect the same pair of non-Apple headphones directly to the iMac without an external DAC, I can see either the Dolby Atmos icon or the lossless icon, depending on what I have enabled in preferences.

Why is this so? It seems odd.