My 13" MacBook Pro with Touch Bar is connected to my Apple Thunderbolt Display via a genuine Apple Thunderbolt to USB-C adapter. The audio from the MacBook is piped through to the built-in speakers in the Apple display.
Music, movies, YouTube videos… all that audio comes out of the display's speakers. What's weird is that certain system sounds come out of the MacBooks speakers… like Messages notifications and the screenshot camera click sound. What's more, is that I can't seem to adjust the volume of the sounds coming from the MacBook's speakers. Adjusting the volume on the MacBook's Touch Bar and on my Apple Bluetooth Keyboard only affect the Apple Display volume, not the MacBook.
This is a problem, of course, and quite annoying. I've done all of the typical troubleshooting things: restarted, unplugged and replugged, set, unset, and reset the output destination in the Sound preference pane.