This symptom occurs if the audio file is stored deep within the nested subfolders of the My Music folder. To avoid this symptom, store audio files iwithin the first ten sub-folders in the My Music folder.
For more information, please refer to the following solution in Microsoft's technical support website.
Article ID: Q303558
Last Modified: October 18, 2001
Title: Play All Option Does Not Play Song File That Is Nested Deep in My Music Folder.