Budgies have many different behaviors and it is going to take time for you to understand what your birds are doing. Sometimes they do things "just because".
Right now, simply enjoy watching your budgies and getting to know their personalities. Sitting next to their cage and singing, reading or talking to them will help to build their trust in you.
Budgies are flocking birds in the wild, and their chatter and calls are part of living in large often noisy flocks. Often in pet budgies, the more noisy the music, the more budgies may enjoy the sounds and become part of the "music" experience. That how I'd view it.
Just now seeing this thread. I have a question. When you say playing music are you playing a musical instrument?
I was just wondering. My birds love my ukulele and do the same behaviour as you described your birds are doing. I thought my birds like the music I was playing for them, but maybe I am wrong. I hope not. I would sure hate it that I was causing my flock distress.