What does "Enable AirPlay over WAN" do?
I believe it refers to accepting airplay connections from computers connected to the wired ethernet port on the AirPort Express. The port's primary purpose when the AirPortExpress was first released was to connect to a cable or DSL modem. Apple and many other home router makers refer to this as the WAN connection. However, I think it only supports AirPlay when the AirPort Express is being used to bridge wired devices onto a WiFi network.

I base this on my interpretation of this review of the AirPort Express on Small Net Builder:


  Since the Music screen is unique to the Express, I grabbed a copy of it. The screenshot below shows that the controls are pretty simple. The Enable AirPlay over WAN feature really works, since that's where the iTunes server I used for a quick test sat. Administration from the WAN worked just fine, too.