Thank you for the feedback! I'm glad you like the idea, I've been working on this game for quite a while now and still have many features planned :D
About adding more songs. I understand where you're coming from, and I plan to add a level editor into the game so I think that might fix the problem, people will be able to use any song they want to make their maps so there should be a large variety. As for the main game there will probably not be another song simply because the song is around 20 minutes long and I don't have enough time to work on another one, but I agree about the game needing a larger variety in songs!
I agree about the menu, It could definitely use some improvement! I am looking into redesigning it in the future, I will also probably make it navigable with the arrow keys since the game focuses around using them anyway.
How did I load all the songs at the beginning? I used an game object and inside it's script I used the line dontdestroyonload so it doesn't destroy itself when you enter a new scene and simply put all the songs into that gameobject, then whenever I need one of those songs I simply move it into the music system. All you have to do is have that gameobject in the menu so the songs are loaded once the menu opens. Beware though the dontdestroyonload feature can be buggy if you return to the scene where the object was created, I struggled for a while trying to figure out why my gameobject was duplicating itself xD
Anyway, thanks for the feedback :) I love hearing what other people think of my game and it helps me know what I can improve on!