Isn’t there an issue here of benefiting from a Sabbath violation? I mean in a case where the person who turned on the music turned on the speaker on the Sabbath, or is playing guitar on the Sabbath. And is there a distinction between a Jew and a non-Jew?

Benefiting from a Sabbath violation is a different topic. There is no physical object here, and it depends on whether it was done for me, unintentionally or not, etc.

Does the fact that there is no physical object here exempt it in every case?

No. That is a dispute among the halakhic decisors, but they combine it as a supporting factor. Personally, I’m not sure there isn’t a physical object here, because in my view a device that is operating is a new physical object (and therefore the person who activates it violates the prohibition of building).

I didn’t understand. When people say there is no physical object here, do they mean that sound is something with no substance? Or something else?

Sound has no substance. Maimonides writes this as well in the laws of Rosh Hashanah regarding a shofar from things from which benefit is prohibited. But here we are talking about sound that was produced by operating an electrical device, and it may be that this is benefiting from the device that was created here, and then it is indeed benefiting from a prohibited physical object.

Now I was also thinking that light is also something with no substance, and still no one says that there is even a possibility of benefiting from the light of a candle that someone else lit for me.

Indeed. And seemingly, according to the view of the Chayei Adam that only a physical object becomes prohibited, one has to say that a burning candle is a physical object, or that the fire is the physical object (even though the light is not). According to the first approach, an electrical device that has been activated is like a burning candle. According to the second explanation, where the fire is the physical object, then there is no analogy to sound coming from an electrical device.