It is my understanding in UE that there is always a level loaded. A level loads initially that YOU set in your project settings. Therefore, for music to play in the back ground of said level, you need to place logic in the level blueprint. Logic for when this said music should be playing. “Play sound 2D” is likely the node you will use for this. I have been often advised at this forum to not dare use the level bp for anything. The alternative then is to use what I call “dummy” actor blueprints dragged into a level. Which will execute when the respective level they are in executes.
Only on the server. Clients that join have nothing loaded at first. They get the Load level info from the GM when it creates a controller for them. Thus the first thing you have that can start playing/doing anything is the controller.
Clients load the level by reading from drive, processing the data and storing it in memory. The larger the level, the longer it takes.