Audio MIDI setup - won't output sound

Forgive me if I've posted in the wrong place but could not find a better community searching MIDI, Audio or Airplay..

I want to output music from the spotify app to both my 'Built-inOutput' and my 'AirPlay' device which is an airport express so I can have music at both ends of the house. It should be a basic option but I read that I must create a Multi-Output Device using the 'Audio MIDI setup' utility.

I've ticked the 'Use' boxes for both devices and Built-in Output is my master device.

Just a mention: I've got music playing via my airplay device. I go to 'configure speakers' and click on left front - the static sound plays in my built-in left speaker, next to me, and then I hear it play out on my living room speakers [can't check which one]. I then test right front and it plays on my built-in right but I don't hear it play in the living room this time. However I'm not so worried about this right now, just thought I'd mention it.

So anyway, I quit 'Audio MIDI setup' and hold down my option key on my speaker icon and there I see the two devices as well as 'Multi-Output Device' available, so I select Multi-Output Device but I get no sound from either device. The speaker icon is grey so I presume I'm missing something.

Can anyone tell me what I'm missing?