Holy cow, I wrote a book!
If you double-click a music file, it doesn't show up
in your Recent Items list.
What's so special about music files?
The technical reason is that the file types are registered
the FTA_NoRecentDocs flag,
which means that they don't show up in the Recent Items
list (formerly known as Recent Documents),
and they don't show up in the Recent or Frequent section of
Windows Media Player's Jump List.
Okay, fine, but that's like answering
"Why is there a door here?" with
"Because the blueprints said that there should be a door there."
You really want to know why the architect decided to put a door there.
The reason why music files are not placed in the Recent
Items list is that individual songs are not that interesting there.
If you spend an hour listening to music, that will fill up your
Recent Items list and push out everything else.
The list ends up simply telling you about the thing you just finished
Not all that useful.
Therefore, Windows Media Player excludes individual
music files from the Recent Items list.
Instead, it puts artists and albums in the Jump List,
higher-level information that they figure is more interesting
than just a list of the songs you just heard.