Hello ramonfromzaragoza,
If I'm understanding you right, each time you open Music you're getting an alert that tells you AirPlayAgent is trying to use your confidential information. I'd like to help you out with this.
Does the alert specifically mention "AirPlayUIAgent"? If so, this is an Apple process in macOS that helps run AirPlay on your Mac. Is it asking you to enter in your keychain password? If so, have you recently changed your Mac user account password or made changes in the Keychain Access app? Take a look at the following support article: If your Mac keeps asking for the login keychain password. See if those steps get that alert to stop appearing.
If the issue persists, or if I have misunderstood the issue you're experiencing, respond back with further details.
Thanks for using Apple Support Communities.
Take care.