Playing streams to a DLNA Renderer is still somewhat hit and miss.
I believe JRiver are working on it though.
Your sample stream plays on my PC Speakers, when it should be playing on my DLNA Renderer. So same experience as you.
Note:
With Radio JRiver, it will play on the PC speakers, and should play to hardware connected devices such as an AVR/soundcard/whatever. Make sure the correct Zone is selected. But it isn't playing to a DLNA Renderer at the moment. It tries but fails.
I can play Radio Paradise (use icon under Streaming to launch, not item in Navigation Bar under Streaming), Radio Swiss Jazz, Radio Swiss Classic, Radio Fip, PublicRadioFan (depending on station selected - lots did, until MC locked up, lost in a DLNA fud), and SomaFM (even though it used a popup window) to a DLNA Renderer.
I can't play BBC World Service, Digitally Imported, Icecast, Internode (format not supported), Last.fm, or RadioTunes, to a DLNA Renderer. All play to the Windows Audio Device or fail.