Thanks for replying and trying to help Lanny.
When I try to select Apple TV it would simply bounce back to the internal speakers (or the last device I had selected).
Since posting I found a solution on another thread. The post from DC Soup on this thread on flushing the DNS cache. Everything works fine after that. I don't know why flushing the DNS cache would fix the issue.
It's great because I can now get audio from any app to stream to my Apple TV.