I can replicate this.
You don't need to replicate all of his settings to see it, just the Jump On Play setting. The key is to switch directly from Mini View to Theater View's Playing Now. If you don't start from Mini View (Standard, for example) then it works properly. For me when coming from Mini View, it does it every time. To replicate:
1. Set Tools > Options > General > Behavior > Jump on Play (audio): Theater View Playing Now.
2. Switch to Mini View (with playback stopped, I guess, that's how I always did it).
3. Play an audio file via Windows Explorer.
Theater View does open, and the song plays, but the display is black (no UI or anything visible at all). You can exit out of Theater View when in this state by hitting ESC twice, just as you could if Theater View was visible (once to get the "Are you sure?" dialog, and again to really exit Theater View).
EDIT: No, it doesn't need to be stopped to replicate. It happens when playback is active too.