My MacBook recently stopped me being able to select my monitor speakers as the output in the system settings. Everytime I clicked it, it would jump back to the built in speakers. I could select it as the output for alerts, and then came across this solution:
1) Go To /Applications/Utilities/Audio MIDI Setup.app
2) On the menu bar Window -> Show Audio Devices
3) Right click the desired audio device and click “Use This Device For Sound Output”
After I did this I could no longer select the the built in speakers as the output device. It would do the same thing as before, so I don’t know what is going on with OSX in this instance.