That shouldn't be the case, the audio tracks are the same they are just compressed with the video. Maybe at most a slight quality loss, but nothing that should be noticed.
I have a CarPC with several music video uploaded onto it, they all sound identical to the plain MP3s.
Maybe it's hooked up wrong, or the equalizer is set different for DVD playback or something. Also DVDs are usually full surround sound whereas most CDs are stereo, so maybe that's causing somewhat of a difference.