After locking the screen the audio falls back to the laptop speaker, instead of using the HDMI

When I’m using a multi monitor setup with my TV, via HDMI, I use the TV speaker instead of the default internal speaker of my laptop, as the audio quality is much better.
Sometimes I like to let the music going on even if I’m away from my laptop, so I’d want to lock the computer and to turn off the screen, to save some battery.

But when I lock the screen the audio output switches to the laptop speaker, instead of coming out from the TV (HDMI).

I guess it’s some form of power saving feature…? If I press any button to bring up the lock screen where I can input my password, the audio output switches back to my TV, as the screen turn on as well.