Why would anyone want to listen to music on HF these days when you can just feed it into your aircraft or headset from your phone?
The type I fly has an audio input to the intercom which you can set up to mute automatically when a radio call comes in.
Personally, in Europe most of the time I find it too distracting to listen to music and listen out for calls at the same time. If the music mutes when any call comes in then the music gets constantly interrupted so that takes the joy out of it as well. I like music in the background through the cabin sound system on ferry flights.