I have this one file that, when I play music in iTunes using Airplay, always makes iTunes revert to use the computers internal speaker. When this specific track is finished, next track is again playbacked via Airplay, without me doing anything.
Chances are that the file you try to playback has the file extension mp4. Try to change the extension to m4a and see if it works as expected then. In my case the source for my file was the sound track of a Youtube clip I had extracted using some online tool.