My music playlist only contains the default CanonGuitar.sgt - If I remove it from the playlist but still have the Music check-box checked, MA3 doesn't close down. But if I put CanonGuitar.sgt back into the playlist, MA3 does then close down, after the end of CanonGuitar.sgt.... And guess what! - CanonGuitar.sgt is approx 5 minutes 10 seconds long!
Does the playlist just say CanonGuitar.sgt - or does it (like mine does by default) show the entire path C:\Documents.........\etc.?
If you're interested in trying a couple of things that
might provide a clue:
A. Try checking the "random play" box.
B. Add the CanonGuitar.sgt file in again, so that you have it in the list 2 or 3 times.