Turning off exclusive mode will allow the sound from MC and the external sound to play simultaneously. This requires the Windows mixer to be engaged.. It also means that when MC is playing alone, the audio still goes through the Windows mixer, which can degrade the sound.
When MC is set up for Exclusive Mode, to play just from the other source while MC is still active, use the Stop button rather than the Pause button in MC. With Pause, MC retains control of the output device. With Stop, MC releases the device so the other device can use it. When MC starts playing again, it will grab exclusive control of the output device.