Maybe their music conveys emotion or paints a mental picture like that flute thingy in Futurama. Stupid comparison I know, but for a species that communicates telepathically maybe the reason Ax doesnt get anything out of human music is because to him it's just noises without any sort of picture being painted . . . but then that does seem like the kind of thing he'd just tell the Animorphs, but then again maybe to him its so natural that he doesnt think he should have to, or thinks it would offend them too terribly.