I figured that was the case. Since I don't play with background music, as I prefer just the normal sounds and sound effects. I had to download a 1 second ogg file and use it for all the music. This way I don't have to constantly adjust the settings.Yes, the game does not save your settings, which is an annoying bug that persists to this day. Sadly, you cannot skip the intro loading, but with that said, I'd personally would just love to be able to speed it up.
For me, holding down space bar speeds up the intro.