Music Display Points allow players to play songs from their music library, whether from real bands or player created. If you look closely, some album names are listed ‘Artist Programme’ which means that they entered a contest and had their songs placed in the game! To play music, press ( P ) to bring up the music player. Settings within the player can also allow you to play songs on foot instead of being restricted to a vehicle.
Unfortunately, you are not able to play themes through these display points. However, you can inspect players by pressing ( . ) and clicking the speaker icon on their theme. You can also press ( J ) for the character info screen which gives you a quick overview of what’s equipped on your character, including your theme.