Trouble with sounds in Monogame

I am able to load WAV files as SoundEffect and play them, but any other format, e.g. MP3, WMA, OGG is failing with below exception;

Exception thrown: 'SharpDX.SharpDXException' in SharpDX.dll
An unhandled exception of type 'SharpDX.SharpDXException' occurred in SharpDX.dll
HRESULT: [0xC00D36C4], Module: [Unknown], ApiCode: [Unknown/Unknown], Message: The byte stream type of the given URL is unsupported.

I am new to Visual Studio, and Monogame \ XNA, and could not find any information on web.

I use the MonoGame Pipeline to add the files in contents. The code is very simple;

protected override void LoadContent() {
    song = Content.Load<Song>("test");
    MediaPlayer.Play(song);
}

The project is a cross platform desktop project, and using the version 3.6 of Monogame

I've tried to use Song.FromURI() but still gives me the exact same exception...