I just loaded up the MGX file.
It is easy to reproduce the problem. When looping 2:nd time around the melody track becomes silent, but the green light indicator on the track view shows that it plays audio, but there is no sound.
I have as default the MS GS Wavetable Synt selected.
If I switch and tick in "use VSTi/DXi synt" then the sound comes back (I don't know at all what happens).

Edit:
When I have the VSTi/DXi synt selected it stays on when looping. If I deselect the VSTi/DXi synt then the sound disappears 2nd time around.