I’ve managed to solve this problem in my own project. I was having this exact issue where the sound virtualization would work fine if set to “Play when silent” AND the sound started playing when the player was within the attenuation radius. In this scenario you can leave and enter the attenuation radius, and the sound continues playing as expected.
The issue arises as you mentioned, when the sound starts playing and the player is outside of the attenuation radius. If you enter the attenuation radius in this case, it won’t be playing.
I fixed it by replacing the Sound Cue with a Metasound instead. The Metasound itself is really simple, and just plays a single sound set to looping. Here I also had to make sure the Metasound was set to “Play when silent” too.