I had the same experience when I got into MAME and re-found Sinistar. It has to do with when you first coin up relative to the finishing of the game checks upon loading. Wait a little longer to coin up, and those sounds should be there.
> Incidently, there appears to be some missing/music/melody in Sinistar when the game > first begins and also throughout the game when you start a new life, when it displays > how many pieces Sinistar contains and how many Sinibombs you possess. > > -Trebor
Consider it high comedy....sincere tragedy....whatever...don't take it personally.