Definitely did - that MIDI file is etched into everyone's soul who played Space Cadet but this was early days, maybe it's possible the win9x machine you played on didn't have a sound card?

EDIT: From what others have said it sounds like it's off by default. It's been decades so I don't remember.

Huh, I don't remember turning it on. Who would want it off? The music is amazing, and it laid the seed for me to get into chip music, especially early keygen music (much of which can be found here: https://keygenmusic.tk/#).