At the title screen go to options,from there go to Sound Menu. At the top it will say Music and will have a ying yang symbol that's grey'ed out. Press enter with this option is selected and the ying-yang symbol should light up and the music will start playing. You will have to do this every time you start one of the add on's since it will reset itself everytime you close dosbox. I don't know how to make it permanent. Hope it helps

That problems only plague Twin Dragon because it's external application to Sw.exe. Similar thing is BMOUSE don't remember stay on, and music reset in TD has something with external launcher changes to Sw.exe with addition to new levels names when on that route probably by mistake part of code is incorrectly overwritten.

So, every time you start Twin Dragon you need to put music on.

Thanks guys :) You both helped me out here so I don't know who to mark as "answered". So I leave it be for now :P
Thanks again :)