i use psShutXP. when you go to turn the phone off it gives you options, the three main ones are: screen off, shut down, soft reset. i noticed when i use htc player for music when i hit the sleep button the music stops. so i use shutxp then turn screen off, the screen turns off and hte music continues. its a good program to have none the less, and it may fix your problem
EDIT: here is a dl link
http://www.freewarepocketpc.net/get-psshutxp.html
it looks like XP, but it can be skinned to match themes. here is a link that shows you how to make your own
http://ppcsoft.narod.ru/english/createskin.htm
however you can find skinned versions already either here at ppcgeeks or at xda. just search for ones you like