It's not a dumb question - Microsoft are smart, and they clearly don't know
Think about live albums as an example - when you play a CD that was recorded live, you never hear silence - you hear one song end, the crowd goes wild, and the next song begins. It would be weird to hear "music music music APPLAUSE APPLAUSE [dead silence] APPLAUSE APPLAUSE music music music," right?
And it's not just live albums, of course - since at least the 1960's, pop musicians like the Beatles or (especially) Pink Floyd were making vinyl albums where one song transitioned seamlessly into the next, with no space between them. And classical music does this all the time, obviously.
It matters enough that every other major player in the portable music space can do it. And it mattered enough to Microsoft once that they did it on Zune, and on their desktop Media Player.