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 with the
FTA_ 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 doing. 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.