Finally after a lot of try and error I found this solution to avoid drops in the main audio on the Bose.
In Utilities > Audio Midi setup select a DIFFERENT output for the Général audio (> Bose) and the System alerts and sound effects (> Internal speakers or Line output).
Of course the Audio panel in System prefs has to mirror the same setup.
This way I'm also happy to avoid error sounds blasting through the Bose ! 😉