Sound output source changes based on the kind of sound? My first Bluetooth headphones ever (Amazon) just arrived today, and they work great on tests in YouTube and QuickTime, but for some reason, when I moved files to the Trash (and out again via Undo), the sound effects played at full volume out of the computer's built-in speakers. I've replicated this several times, and the issue persists even after relaunching Finder. As I was writing this, the "new email" notification sound just played out of the computer's speakers too! How can I fix this?

I'm on an early 2011 13" MBP with an upgraded AirPort card to support Bluetooth LE (gotten for Continuity support), running OS X 10.10.2.
Make sure You have the right output set in Preferences -> Sound -> Sound Effects