I don't know if you're still having this issue but there is a way round it as I'm having the same troubles.
I've just spoken to Apple about it and found out:
– If you have a Mac made before Mid-2011, it doesn't have a piece of hardware needed to take advantage of the 'Airplay mirroring'
– So you can update to a later version 10.6.8+ but this won't help at all
The way round it:
– Download 'Airfoil' and install this
– You can then play music from any defined source (Spotify, Quicktime etc) through your Airplay connected speakers
So sadly, for those have a Mac from before Mid-2011 there's isn't an option that's as easy as Option-click on the sound icon to switch to Airplay speakers.
Hope that helps, I can now get on with the rest of my day now after sorting this out.