I have found solution using MetaSound.
This plays without gap (both in editor and shipping build).
If for some reason you absolutely have to use CUE, then this will also work. But be aware that this is workaround, not solution.
In my case 1 second delay for intro was enough (actual time to load asset was between 400-600ms).
Just make sure that attenuation applied is making music silent (this is just for preloading asset, not actual play). For example have it configured like this:
