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@ZippyV: Maybe some localization error? It's working fine for me in the US.
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I found the cause of the error: I was logged in with Remote Desktop. If I login locally the music plays fine. Maybe it's some kind of copy protection.
For SEO lulz:
Windows 8 - Xbox Music - Playback not possible
0xc00d11cd - 0x80004002
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Actually it started playing for me if I login with remote desktop but set "Play on remote computer" remote connection audio setting (You'll find it when creating remote connection, click Options->Local Resources->Settings)
My exact error code was also 0xc00d11cd - 0x80004002

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