Using XAudio2 isn't as complicated as it is stated.
XAudio uses 2 independant architectures, distinguished by the keywords 'sound' and 'music'.
'music' is used to play a file (either from disk or resource). The file format should preferably be mp3, but wav and wma are also playable. It is only playing one file at a time, doesn't know about channels and hasn't much options to alter anything while playing.
'sound' is a bunch of sound channels that can be played simultaneously, with many options to change the behavior of audio while playing. Preferable sound format is ogg vorbis, but wav is also supported. It is used by loading a sound file to a channel (binding it to that channel) and from there on give orders to the channel (not the sound). As soon as a sound file on a channel is fully played (which never happens if the channel is looped, or the position always set to somewhere before the end of the sound) it is released from the channel and any try to play it again will produce nothing but silence.
In your example you mixed both architectures, and that might have caused your problems. To play a sound loaded to a channel, you don't use the action 'play music' but 'play channel':
+ System: Start of layout
-> XAudio2: Load resource "Skillet - Hero (instrumental).wav" to channel 1 (Loop)
-> XAudio2: Play channel 1
or
+ System: Start of layout
-> XAudio2: Play music from resource "Skillet - Hero (instrumental).wav"
If you decide to use the first way, then channel 1 is bound to "Skillet - Hero (instrumental).wav", if you later on load another sound to the same channel, it replaces "Skillet - Hero (instrumental).wav". To avoid that, use another channel:
+ System: Start of layout
-> XAudio2: Load resource "Skillet - Hero (instrumental).wav" to channel 1 (Loop)
-> XAudio2: Play channel 1
+ MouseKeyboard: On key Space pressed
-> System: Create object Bullet on layer 1 at (0, 0) from Hero 's image point 1
-> XAudio2: Load resource "imphenzia_soundtrack_laser36.wav" to channel 2 (No loop)
-> XAudio2: Play channel 2
As you can see it isn't very complicated, if you just keep in mind what architecture you are using, and how it is intended to work.
EDIT: Made a mistake.