That makes sense - the sub only gets a signal if there's a .1 track or bass in the surround channels low enough to drop below the crossover point.
The difference between movies and music is largely a matter of how they're mixed - movies have lots of bottom end for effect, whereas very few musical instruments and no human voices get that deep so you don't often get comparable bass from music. If you want comparable low end slam from music, you are going to have to find some music that specifically contains that sort of information (pipe organs are a classic example of this). Of course, now you are shaping your listening habits to a rather arbitrary goal of the inclusion of specific frequency bands.

Another way to look at it: if you want a signal of some sort going to every channel in your system (all five or seven speakers plus any subwoofer(s) or bass shaker(s) you might also have) all of the time, you are going to have a hard time achieving that. There is a lot of source material out there that is not going to cooperate. The electronics we use are (at least in most cases) designed to be as faithful to the source material as possible, even if that leaves some speakers idle at times. It's similar for video, where faithfulness to the sources sometimes mean pillarboxing, letterboxing, or even black and white on fancy HDTV's.