Unfortunately, that's been requested since the Beta and Soken (the composer and sound director for the game) has repeatedly said it's 'working as intended' - the way music is executed in the game, especially in dungeons, is to provide ambiance to the setting and not overpower it. It's been constantly requested by players to allow music to loop like old-school FF titles though, but I can understand Soken's way of thinking as well (after all, FFXI suffered from zone music becoming horribly repetitive so it's probably something SE are trying to get away from).