FulVal: I prefer an official fix from Gog or Id Software / Raven (and this for all games that have this problem)
HeXen 1 & 2 are using .ogg files
edit: I have tested HeXen II and... music loop without problems......
And i think that will be the same with HeXen 1
(I'm using HeXen II with XP SP3 compatibility mode and 8 bit compatibility mode, this for H2.exe, i don't know if GLH2.exe is different with musics... i'll try it soon)
I too would like an official fix, but I guess we won't know if they just didn't caught this issue before release or couldn't fix it even if they wanted to. Anyhow, for Hexen 1 and its expansion the CD music loops properly as the games are image mounted through DOSBox right out of the box, no need to change compatibility modes there.
For Hexen 2, glh2.exe is not much different from h2.exe regarding the CD music, both executables have the CD music not looping properly without setting a compatibility mode. I used Windows XP SP3 compatibility mode for glh2.exe and the CD music loops properly with the mode, so setting to at least Windows XP compatibility should fix the issue at least. There's probably other tested solutions but changing compatibility mode to Windows XP looks to be the easiest one.