OK, this may sound like a stupid question, but... Are you SURE there's no crossfade? The reason I ask is that 4 seconds is not a lot of time. If the first track has more than a few seconds between the last note and the actual end of the track and/or the second track has more than a few seconds between the actual start of the track and the first note, then MJ will be crossfading silence and you'll never hear it.
As a test, do this...
Find a track where the last note is within 1 second of the actual end of the track. Find a second track where the first note is within 1 second of the beginning of the track.
If you play these tracks in order with no crossfade set, you should hear 2 seconds of silence between the last note of the first track and the first note of the second track.
Now set crossfade to smooth and 4 seconds and play them normally. Do you hear the crossfade?
Now play them to the diskwriter and check them with windows media player. Do you hear the crossfade?
Report back detailed results. Let us know the tracks you tested with as well.