The issue with game music not playing was fixed in patch 181. Before then you needed to run Neocron in XP-SP2/3 compatibility mode to get the music to play.
Before the new Neocron CE installer came along, a big support problem for the NST was users installing Neocron and the game failing to patch because the game didn't have write permissions in C:\Program Files. Also not all users had the C++ and the correct DirectX runtime libraries installed. The installer by default installs in C:\Games and with Administrator privileges to try and avoid any issues with lack of write permissions, and hopefully any future issues with permissions.
As I said above, you can install Neocron and run without needing Administrator privileges. If you consider yourself an expert user with your OS and PC, then feel free to run Neocron without Administrator privileges. However if you feel you are unsure, it's best to leave the installer set to the default options.