Audio output - Bluetooth/Macos/Catalina

I have beeen trying to get some Bluetooth headphones to work with our Apple iMac, running under Catalina.
I can get Youtube videos to play with sound through the headphones, but whenever I try Musescore the loadspeakers in the iMac are used, not the Bluetooth to the headphones.

I am trying to get this to work so as to avoid disturbing other people.

Is this a bug, or is there something I need to set to get this to work?