Creating Multi Output Device

Hello. I'm trying to create a multi output device to play music I've followed what instructions I can find online but I can't get it to work. Interestingly when playing music through Apple Music I can use my set up as multi output automatically, set up is Harman Kardon sound sticks into the headphone Jack and two Sonos ones via Airplay.

When I create a multi output device even though it shows both airplay and headphone jack it only plays via airplay, then if I switch to head phone jack and then go back to multi output it says airplay device not available? Also when first creating Multi Output it doesn't show any airplay devices at all, I have to add them?