Less work needed for ePSXeCutor and works with all the plugins, including the internal ones and because you can create shortcuts you can use those short cuts in most front end software like XBMC and use whatever icon you want to use, providing you know how to change shortcut icons but most windows users should be able to do that, not something that is hard to do but not everyone would know how to do that or where to look to do that, the hardest part is to make the icons, but plenty of free software out there to do that easy enough.
Shadow Master does have CDDA but not so sure that is for music, there are only 4 CDDA tracks and I have seen games with CDDA that are not in-game music, I would guess not as CDDA is broken in the latest version of ePSXe for all plugins except the internal one
If you roll back to 1.6.0 I think it is the CDDA should work with the other plugins as well
, there is also a fix patch for ePSXe 1.7.0 & 1.8.0 but so far not for 1.9.0, the patch allows for CDDA to work with other plugins asides from the internal SPU plugin, the CDDA is possibly used in other places, I would need to check that out though first to verify what I have just said
ePSXeQuickplay will possibly work better with 1.6.0 of ePSXe or a patched version of 1.7.0 or 1.8.0 for CDDA games
I can dig out patch info for you if you like, I never really bothered as I don't emulate ePSXe that much anyway and just use the internal SPU plugin, ePSXe is used more of a hacking tool to me than a way to play the games though.
About XA audio...
XA audio is not the same as CDDA audio no, XA is sound used in STR and XA files and container files and uses a special header added after the file is created so the header is part of the CD structure rather than directly on the file, STR files and containers are movie files but still use the XA header for the sound, XA files and containers are just sound files though also having that special header, you do sometimes get containers that have more than just STR and XA files but would also use that header.
CDDA in games for the PSX is commonly used for BGM's but it has been known to be used for SFX, Dubs, Warning not to play in a CD player & just extra's like music that works in a normal CD player, possibly other uses as well that I have yet to find.