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Please use the Padlock icon (in the right bottom corner) instead of the phone lock button.

To close the music player, tap three dots on the right side of the player tab, then choose Stop & Hide.

To manage mixes for your workouts tap  Browse > Music & Sounds - Workout Mixes > See all or choose a Genre > Choose Mix - Play Also you can start a player when launching a workout:

You may try the following options: Go to Menu > Settings > Audio Settings > Voice Volume and manage the voice volume.