The Play command is treated differently in GPS Builder depending upon if you're building a GPS Playlist for an AM4 or for the DVM8500.
For the DVM8500, you can either use the Play by Number variation of the Play Command, or the Play by Name variation of the Play Command. If you are using the Play by Name variation, you must include the quotes in the data field (see image). Waypoints 1 and 2 are Play by Number, Waypoint 3 is Play by Name.
Digital Audio Machine (AM4):
With the latest AM4 firmware, you MUST use the Play by Name event. Play by Number does not work.
Also, DO NOT put the name in quotes (this is different from how the DVM8500 is programmed). For example, waypoint 3 in the above screenshot would be entered simply as SND00003.mp3 (without quotes).
For more details on using GPS Builder with the AM4, please read this article: https://alcornmcbride.zendesk.com/hc/en-us/articles/360001440333-AM-4-GPS-Playlist-Tips-for-OS-4-X