I have the exact same problem and slowly, but surely it's driving me mad.
When I go to OS Integration all the audio files are selected, as is the "Re-associate file types" option. Also, some of the video files are selected, so I deselect them, reselect the audio files and nothing happens. Tried reinstalling, running in Admin mode, setting windows association files to default and even doing all the above in safe mode - NOTHING works. Audio files are still not associated, and those few video files are not associated as well. It's like this window does absolutely nothing, except actually adding folder context menus. Each time I open OS Integration it's back to the same state:
I never had this problem with foobar2000 and when I change file association in Media Player Classic is works without any problems. Windows 7 here. Any ideas? I like MM so far, but this is unacceptable :/