Currently Spotify defaults to using the default sound device under windows when launched, it would be neat if you could choose which sound device you want to use isntead in the options screen,
Updated on 2020-01-10
Windows 10 now lets you set the default output device on a per-app basis.
@Sebasty posted a great explanation here.
The Windows 10 app, and the mobile apps too, should all let the user set a default device for playback (such as a Sonos or Echo speaker), which Spotify will remember, and attempt to reconnect to next time it's launched and asked to play.
Just because "Windows 10 now lets you set the default output device on a per-app basis" doesn't mean the problem has been solved for Mac users or users on other platforms?
Very sad response on this. Changing the output device in Windows is a pain. Even the Amazon music app lets you select your device directly in the app - much easier than digging into windows settings every time you want to swap between headphones or speakers...