Yes, there is a problem with gapless playing in Media Jukebox as in all other multimedia players I've tried. Some file types, among which are MP3 and WMA seem to dislike gapless and the players always play them with a small gap, even in gapless mode. That's the files' problem, not the player.
There is an alternative, but it's not very good either, which is using crossfade with the minimum duration, 0.1 s, but the crossfading still is perceptible.
What I have suggested several times to the development team here on the forums, and never got a direct answer, probably because they didn't understand my proposal, is that a new playback mode should be added to MJ to specifically handle gapless playing on gapless-unfriendly file types. Kind of an "MP3-gapless" playback mode. I also said it could be done by using the same crossfading mechanism, only with an even smaller duration, say 0.01 s, so that it's imperceptible to the human ear.
Just my 0.1€