Thankfully, this is not the case, or at least not in a house like mine with several devices spread among almost all of the rooms that are connected (whether wireless or not) to the same network. After some Internet searching, there are no free options to work on a diverse ecosystem of devices, however, there is a very cheap one by a company called Rogue Amoeba.
Airfoil runs on your computer and captures the sound from any program that produces it - in my case, Spotify, delays it by several seconds (to compensate for network latency) and sends it out over your Home Network. Any smart device running iOS, Android, Windows, Mac OS X and more can run a free app called Airfoil Speakers which can receive this audio stream and play it over it’s own speakers. The app tries to guess how long the stream took to arrive, and corrects the timing so that each device plays synchronized.
The good news is, most of the time, it guesses correctly! It's constantly checking, and if your network changes, you might see some skips in the music, but when everything is going according to plan, you can walk from room to room and hear your music playing synchronized, as if you had a fancy expensive system!
Caveats: Some programs simply won’t be captured from. Slow devices can guess wrong. Not free.