I don't know if this is my fault but i saw a similar problem that was solved for the surface 3 were they just needed to download the latest software and then they were able to play music while their surface is off. I did the same thing to my surface go but its still not working so i don't know if this is a new problem or i'm doing something wrong so i would like some info on this.
Updated on 2018-12-06
Please search for the issue in the respective help section and post there to be in the loop. If it doesn't exist you can create a new topic, so it can fixed.