If you are trying to use AirPlay out to AirPlay Speakers (your Airport Express), I believe that only works with "Music" that originates from the Apple TV.
For example, you should be able to listen to iTunes Match Music, Radio, Podcasts, and possibly Music Videos via AirPlay out from your Apple TV to your express, but probably won't be able to do the same thing with other movie or TV show video files. Likewise, media that originates on another device (computer/iOS) won't play through your Apple TV to your express. The content must originate from the Apple TV itself.
Since Netflix is recognized as a video format, it doesn't support audio over AirPlay. Conversely, since iTunes music videos are stored under "music" in iTunes, AirPlay "sees" them as music and allows audio over AirPlay.
Hope this helps.