I too have been wondering about this, it is a tad on the annoying side. But if this works anything like how we manipulate the in game music in PSO, you should be able to assign a loop in winamp, though PSO uses .ogg files, but then again you should be able to then convert that winamp file to Midi or MP3 or whatever is used in the music program that replaces the midi.lgp.
Edit: just checked in winamp and if you have the right plugin you can play the PS1 music files and therefore if someone can find the exact value where it needs to loop it should be able to be edited and made to work, atleast I think it will.
Edit: Just tried it and it didn't work.