Didn’t HL2 have a similar problem, I remember that cool music from the combine helicopter chase with the airboat stopping once I hit a loading-screen.
It might be fixed in the Orange Box engine…
No, they just kept music at the appropriate length in that it wouldn’t be cut off, for the most part. Although at the end of the Advisor barn level they made it fade out as you crashed through a set of boxes in the car, which was a pretty neat effect.