Lately i have had a similar issue. When using "Play at object", the "Preload Audio" event does not seem to work for the "Play at Object" action. Preloading the audio for just "Play Audio" seems to preload just fine. This might be why your other sounds might pause when u use the "Play at Object" audio event at first.
Is there something we are missing here or is "Play at Object" working as intended? "Play at object is a cool feature but its not so cool if u cant use preloading the audio for it and not getting the first stutter on the action.