I wish to connect to an external speaker to my MacBook Air: in Device Setup, I have the following options - Built In Audio and Display Audio, but there is not an option for a headphone connection.
I am able to hear sound from the external speakers on other programs.
How are your external speakers connected? Just by the headphone jack on the side of your computer? If so, then using the ‘Built-in Audio’ option should work, as macOS will automatically switch between the computer’s internal speakers and whatever is connected to the headphone jack if something is indeed connected there.