Which Windows Phone do you have? Supposedly the first generation of Windows Phones could not play the audio from video via bluetooth. This applies to not only Slingplayer, but any videos. I myself have a Gen1 Samsung Focus and have personally witnessed this issue.
I have read on other forums that the newer generation of WP7 (Lumia 900, for example) have resolved this issue.
I had SlingPlayer working via Bluetooth in my Chevy Volt for a while but now when I start SlingPlayer, the Bluetooth car connection turns off immediately and audio plays on the phone (Droid RAZR MAXX HD with a Motorola Car Dock running Car Home Ultra app). So it looks like SlingPlayer is turning off Bluetooth. I will email Sling support to see if I can get their answer. Had it working for a while and it was great to hear the TV's audio on the car's speakers.