So to be clear,
With those Windows setting, and with MusicBee set to use Wasapi Exclusive:
You start MusicBee playing. Then you start Audacity playing.
Then MusicBee keeps playing uninterrupted, together with Audacity?
That makes me wonder if MusicBee was using (granted) exclusive mode in the first place.
That looks like some issue.
Maybe driver issues? Other audio software or tools interfering/conflicting?