Have you tried using Insert > FLV or F4V file option to see if that works any differently for you as far as the audio shutting off when you move to the next slide?
As far as the loading times for your videos, try adjusting your project preloader to a higher percentage, e.g. 50% or more. However, in general, I would suggest that you do not place even moderately heavy video files on the slides near the beginning of your project.
