PlayStation games had that too - not sure if all, but at least some of them. It was especially funny if the game disk failed to load as a game, but opened just fine in the PlayStation's built-in music player.
A fair amount, but far from all of them. AFAIR it was largely a technical decision with trade-offs; games that did it could offer CD-quality music, but wouldn't be able to read data from the disk and play music simultaneously.