Either you use backgroundmusic (poperties of the scene) and tick the continue music from previous scene box.
Or (and I learned this just recently) you use the new sound system. You can put the sound in a soundcontainer and link the container to both of the scenes in the scenes properties. Then the music will play each time you change the scene. And continue from one to the next. If you don't want that, you can put the sound in a switch container, link this container to a value and switch the sound on and off (value 0 = no sound, value 1 = first sound in switch container...) If you want to play the sound not on the beginning of a scene but at a time of your choosing use the action part fade in/out audiocontainer.
don't use the "continue music from previous scene" option - EVER! Just assign the same music file to the relevant scenes & if the file is the same it will continue without restarting.
the issue with the continue music from previous scene option is that it literally continues the music from the previous scene... so let's say that you saved the game on a scene that has that option checked. now what will happen on save game load (depending on whether or not music was playing in the load game/menu scene) is that the scene you load into will either be playing the music from the load/menu scene or no music at all. I only recommend using that option for menu scenes, & only if you want the menu to carry on playing the game music.