I also use a projector for watching DVDs. The watch DVD activity is set using the projector as the display device. If I change activities, ie watch TV to watch DVD, the TV is turned off and the projector is turned on.
If what you want is to have to option of watching DVD on either the TV or the Projector, just add a second watch DVD activity defining it with the projector. Therefore changing activity watch DVD on TV to watch DVD on Projector will keep only one display device on.