My first Bluetooth headphones ever (Amazon) just arrived today, and they work great on tests in YouTube and QuickTime, but for some reason, when I moved files to the Trash (and out again via Undo), the sound effects played at full volume out of the computer's built-in speakers. I've replicated this several times, and the issue persists even after relaunching Finder. As I was writing this, the "new email" notification sound just played out of the computer's speakers too! How can I fix this?
I'm on an early 2011 13" MBP with an upgraded AirPort card to support Bluetooth LE (gotten for Continuity support), running OS X 10.10.2.