Currently on 4.1 Pro (probably earlier too) if I try to AirPlay to my airport express from my iPhone it sends the audio, but removed the video from my screen as if it is streaming that too. The AE is an audio only device. I should be able to only send audio so that I can still watch the movie on my device (default behavior for other apps such as YouTube).
Another thing is that I cannot adjust the volume. Normally when I AirPlay audio to my AE, I can adjust the volume from my device.