Some users contacted Spotify in an attempt to get this changed, and got the following reply:
Unfortunately Spotify does not offer an option to select a primary
audio output at this time. It should simply copy whatever you have set
for your computer's by default.
I hope this is something we can add into a future release. For now
you'll just have to bear with us on this one. Kind regards,
Richard Spotify Customer Service http://www.spotify.com/help
Good news: People are working around it. There is a third party client called Fidelify, which gives you the option to use a different output device, from what I have read.
Fidelify uses Spotify Core to deliver streaming content in a bit
perfect stream directly to the soundcard, using either ASIO or WASAPI.
In addition the player itself is optimized for bufferless playback to
minimize jitter. Convolver DSP is integrated in the player to allow
real time FIR filter correction of the audio stream, and a custom VST
module to allow users running an additional DSP effect or EQ on the