Wow... This came as a pleasant surprise for me. On my HD7, When I am connected to a BT headset with A2DP built-in, only Games audio and MP3 Audio was transmitted. The Videos that I played, never got through to my Headset, but was played on my phone speaker.
On my Nokia Lumia 900, the audio from my Videos are being transmitted to my A2DP enabled BT headset. I am not sure this feature was updated with one of the WP SW upgrades, but it did not work on my HD7.