I think I found a bug. When using DirectX and the same code the Song is played. With OpenGL it is not. Have no time right now verify or check if this is already fixed or a known issue.
This occurred when I started the project in Windows 10. I will try in Linux later to see if this is an issue there. I have a feeling maybe changing from windowed to fullscreen while running in a debugging session before may have messed up something in the system and may fix itself after a reboot perhaps. So this is maybe something that is not happening every time and / or with special system configurations.