Microsoft's volume mixer has gotten a lot better over the years, but still not as good as it could be, especially if you have more than one output device. EarTrumpet offers the ultimate solution for this.
Install EarTrumpet
EarTrumpet is a replacement for Microsoft's volume mixer, aka the window you see when you click the speaker icon in the system tray. EarTrumpet is a free program that you can find on Github. You can also visit the Windows Store if you wish. You must have installed the Windows 10 Fall Creators Update from 2017 for this (we consider that chance quite high), otherwise the app simply cannot be installed.
Working with EarTrumpet
An (extra) speaker icon will then appear in the system tray. When you click on this, you can see all active audio devices, the active apps that are played on them and an individual volume bar for each individual program in one overview. The great thing is that you can now adjust the volume for each individual program per device. The really brilliant feature of EarTrumpet is that you can assign programs to other devices. Right-click a program in EarTrumpet, then the two-arrow icon and specify which device you want to assign the audio to. You can, for example, have Spotify play on your external speakers, but keep the Windows sounds on the laptop speakers.
Replace icon
EarTrumpet works great, but we'd rather not have two audio icons in the system tray. Fortunately, that is easy to remedy. Right click on the taskbar and click Taskbar Settings. Scroll down and click Enable or disable system icons. Here you will find all the icons on the system tray, including Volume. Disable the slider for this item to hide the icon. Then enable the slider at the EarTrumpet component, otherwise that icon will not be visible when EarTrumpet is not started. The icons for Volume and EarTrumpet are identical, so you don't have to get used to a new icon in that regard.