It's like the light inside the refrigerator - does it turn off when you close the door?
The band and the people are always there, but in my many explorations of the harbors I've discovered that there is a trigger for the music itself. When you get far enough away that you can't hear the music, use the external ship view or F12 to navigate back to a point close to the pier. When you are close enough the band will start the song from the beginning.