Audio doesn't play on connected bluetooth headset
I am using Iphone XS Max (iOS 12.4.1) and connecting to my remote Windows 10 machine,
Once I am connected and I run something with audi on the remote maching, the sound comes from the iPhone's built-in speakers even when I am connected to the phone with my Bluetooth headset.
No other application on my phone does that.
How do I make the audio run through my headset?