I can actually confirm that the setting does work, and it's just the option in the menu.

Also, I get the exact same non-playing behavior when it's connected to wifi, and about 3 ft. from the router.

edit: Oh wow, I tried hitting "next", and I got a whole lot of stuttering audio. Unfortunately, I was running it from the application menu and didn't get any consore messages but.. there's anotherdata point for you.