The internal speakers cutting off while docked seems to be a bug; I had the same issue and was able to work around it by following this comment.
For music, I have FreeTube and Tidal installed as non-steam games. I’d prefer if I could hit the media control shortcuts on my keyboard and control Tidal while I’m in a game, for example, but I haven’t found a way to do that. The closest I’ve gotten is by installing Decky Loader and the Music Control plugin.
Trailblazers: Into the March?