Littleguy: Yes I have had this problem as well, it seems like a script error where the next song dosen't initialize.
I haven't been able to figure it out yet, but in Hannibal it stops in the main menu screen as well as in battles. In battle Track 1 plays, then Track 2 starts, plays about three notes, and stops. The fact that it is starting the new track then halting is likely a clue as to what is happening or at least might be to someone who understands the new install.
One thing I've noticed about the music is that the original Hannibal game has three battle music files: Track1, 2 and 3.WAV. But the GOG install has some additional .OGG files in a music folder labeled Track2 through 7. For some reason there is no 1. Caesar is structured differently. In any case both have .ogg library files and the music folder with .ogg tracks so I wonder if some change has been made to the .exe to use a different player that is shutting down for some unknown reason? FYI, in Hannibal Track2.WAV corresponds to Track4.ogg and/or possibly Track6.ogg.