That's basically where you'd need to go.
Either:
1. Set this audio device as the default device in OSX, and then set MC to just use the default playback device. You can choose the default device in the System Preferences/Sound pane.
1st test:
Play a track with iTunes ...
switch on my BT headphoness ...
music begins to play thru headphones ...
it works as advertised!
2nd test:
quit iTunes, and go straight to MC19, and play same track ...
music begins to play thru headphones ...
it works!
3rd test:
quit MC and turn off BT headphones ...
start MC ...
turn on BT headphones ...
music continues to play thru computer speakers ...
it does not work!
This testing would imply that iTunes will switch the "Core Audio" automatically to BT when BT connects, but MC will not (or cannot) do this.
2. Set MC to use this audio device explicitly via Options > Audio.
Yes ... following the above, if I change the "Audio Device" to the BT headphones, it will work, but iTunes doing this automatically 1-ups MC in this regard ...