You don't get any music or just none when you start the game? If it's the later, don't worry, unlike earlier paradox games EU3's music doesn't start while the program loads, it doesn't start untill a little after the menu appears and even then it has a quiet intro. Unless you sit on the main menu for a while before starting it's quite likely you'll start a game before the intro music plays. Not sure why this changed, maybe to make it load faster?