No, the PC version certainly features music played through the Jukebox. I did notice, however, that every time you play the Demo, the game is different. You'll find different weapons in different places, but the jukebox has always worked for me. Perhaps it had something to do with the game settings? Or maybe the files were left out. Were you pressing 'E' as your use key?
I have noticed a few difference between the PC and 360 versions, though. I've never encountered a tank on the PC version, and I've played the demo at least 3 times. On the 360 version, however, I've encountered a tank ALL three times I played.
I tried on the 360 version to use the jukebox until I heard "Still Alive" but to no avail. I suppose it's supposed to be rare.