Its more likely a Fiio feature. Remember the dongle is primarily designed for phones so the dongle shuts down to conserve power and not drain the phone battery Not uncommon in such devices
Do you already own the Bluetooth speakers ?
If not, then , as @Wiimer suggests, there may be better connectivity solutions if you choose speakers that have wired or wifi connection.
What is the make/model of the Bluetooth speakers you are looking at ?
I think you can set an individual device to "do not disturb" in the Alexa app.
This may have other consequences though for audio playback, I don't know.
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