I have these games both as boxed copies and on GOG, and I've been putting off starting them until I found out how to get the CD music in the English version. So thanks for that, it's much appreciated.

I'm also facing the same issue. Pressing the CTRL+F4 and afterwards ENTER does not work for me. I'm running the game under MAC as the German-Version. Has anyone been able to solve this issue. Currently I'm just facing it when entering Tiefhusen.
--> look at the Screenshot.

Old thread is old, but I just bought RoA2 and stumbled into the exact same issue, so it's still a thing.

At first I thought the issue was because I play RoA in Dosbox under linux and maybe there is a bug in my configuration, however it turns out to be a general problem.

TL;DR solution:
In order to fix the issue, open the files "gamea.inst" and "gameb.inst" with a text editor and replace all occurrences of "Music\" with "C:\Music\" (without the ""). Afterwards changing the CD with Ctrl+F4 works as expected.

The issue:
There are 2 CD images, "gamea" and "gameb", both are so called mixed mode CDs, i.e. they contain a data track as well as CD audio. The images are CUE/BIN images, actually "gamea.inst" is the cue sheet (usually named "gamea.cue"), while "gamea.gog" is the bin file (usually "gamea.bin"). The audio files are stored under the MUSIC subfolder as .ogg files, as indexed in the CUE sheet ("gamea.inst").
Now the problem happens when mounting the images within DOSBOX. The images are mounted to drive D:, while the installation folder is mounted to drive C:. I think what happens when you try to switch the CD during the game via CTRL+F4 is that it checks the CUE file for the audio files. However the CUE file just says the .ogg files are under the MUSIC subfolder, which is correct, BUT the MUSIC subfolder is not part of the .BIN file of the CD image (which is mounted to drive D:) but is stored under C:. Therefore the imgmount fails because it does not find the tracks under D:\MUSIC. Changing the references in the CUE sheet to C:\MUSIC fixes the issue.
Note that while the CD images work in DOSBOX now, they will likely fail when mounted directly by the host system, because the path C:\MUSIC is probably invalid there now.

I managed to get all 3 titles to work with CD-Music with this solution. However, with a problem. In the opening credits of part 3 (Attic, etc.) there is no sound at all. It only begins with the game intro (castle, etc.). What could be the reason? My concern is that the game may not be able to play different music as it progresses, and yet there is still a misconfiguration somewhere.