This is for Windows 8 not for Windows 10.
Windows 10 you must select video, right buttom and cast to device. In app I don't know because in Connect you can only do this with miracast and bluetooth, not with DLNA.
You are right. The DLNA play-to from modern UI does not seem to work anymore in Windows 10. Luckily i went back to Windows 8.1 on my Surface Pro 3. I use this feature very often in order to stream YouTube videos to the TV.
On the Windows 10 desktop it works like in Windows 8 though with the limitations i mentioned above, like not being able to stream web video.