Thanks for bringing this new feature to my attention.
Now, I am running a streaming audio app on the phone, and want to route the audio output to my laptop, which has better speakers, and also, through the laptop Bluetooth to an external speaker. This doesn't seem to be possible.
On other fronts, if the Samsung phone is on a VPN, the Windows app has trouble finding it or connecting completely to it. Both devices are on the same Wi-Fi network, which is managed by a Cisco Meraki. The laptop uses the same VPN app as the phone.
Now, if the phone is taken off the VPN, the Windows app completes the connection, and then it's possible to turn the phone VPN back on. All Your Phone functions seem to work quite nicely.
Vysor does the same as the Samsung app —mirrors your phone on your PC, without the catch—works with any Android device. You can interact with Android using your PC mouse as a stylus and typing on it with your keyboard in a window on your PC monitor. You can even drag and drop files to and from your Android and PC. Vysor also mirrors audio. You may have to adjust your proxy settings since you're on a VPN.
BlueStacks is a PC program that runs Android apps. Like Vysor, you use your mouse in BlueStacks like a stylus. You can log into your Play Store account and download all your apps, even purchased apps, like you're downloading to a new Android device. Then just run your music app from BlueStacks on your PC. I've heard complaints it's CPU heavy and laggy, but my HP Probook runs out just fine—maybe a bit slow to boot and close, but nothing intolerable.
A third option is to get a double male Midi cable and plug it in the old fashioned way, using your Android's headphone outlet and the Line-in socket on the PC. You could do this with any home theater receiver and get even better results.