The reason it was put in EQ was because at the time the game wasn't set up to be windowed, and people had a problem being able to run the music they wanted while playing.
EQ2 can be put into windowed mode easily, so they didn't add an extra feature that would replicate a function available already to just about anyone on a computer. That would be almost like adding a browser to the game just because folks want to surf EQInterface while playing instead of going to their normal browser. (although, if I was gonna browse a site while playing, this would probably be one of my more frequent places
)
While a built-in mp3 player might save a few seconds used to go out of the window and come back in, it's not something that's needed for players who want to listen to mp3 files like it was at the time for EQ.
Even EQ has now made it possible to window out, and so they stopped supporting the built-in player for it.