A hyperlink? Do you mean you have to click a link to open a different presentation? How is that better than just having the second presentation already open, closing the first one with command W, and start playing the second presentation? For my classes, I often make a presentation with up to six different pieces of music that play with X number of slides each. It's a breeze in PowerPoint, and a huge mess in Keynote.
What makes sense is that we all SEND FEEDBACK to Apple to WAKE UP and smell the coffee. I have been sending feedback for this big shortcoming of Leynote every few months foir more than three years. Maybe Apple is saying "Geeze, here he is agin, still nagging about multi-media features." If a dozen different people send feedback, maybe Apple will see it is not just one goofball who hates this shortcoming.
This is the main reason why I use PowerPoint for complex presentations. Keynote is all about pretty transitions, not about great presentations. PowerPoint has had full mulkti-media options for many years.
Keynote is not Powerpoint and vice versa. The way music is currently handled in Keynote has been explained. If you wish music to play across only a few contiguous slides, you make them a seperate file and hyperlink to them using an object for the hyperlink.
Once built, and properly used, the transition from one set of slides to the next set is smooth and the audience will not know (or care) if there is one, two or fifty hyperlinked files behind the curtain. What they see is the content, the message and the effective use of a visuals to backup your actual live presentation. The files you create are not the presentation, you and all you bring to the audience are the presentation. You are simply using a tool to assist youself to help your audience better understand your message.
Using Keynote is found by many presenters to be an easier application to use. If you find Powerpoint easier, by all means use it. Your message will be basically the same to your audience, if done properly.
Feedback is a good way to ask for changes but given the rate of change, learning those few simple workarounds and using them effectively will help you use Keynote (or Powerpoint - yes there are limitations there too) to easily put your point across. Your audience will sense your frustrations as a distraction so it is better to accept the few limitations and make your presentation shine in spite of them.