No, it's configured properly in the Synth output menu. Simply pressing enter on a compatible VGM file loads SBVGM, even if it doesn't exist in the file system. Is there some option/button I have to press to use the internal VGM player for Mod Master? Looking at older videos it looks like it just automatically loads into the internal player for VGMS, but this is not the case for me. I've also tested it in DOSBox and it too only seems to want to load VGMs into SBVGM.

It does move to SBVGM if it fail to load the file.
Can you send me your VGM files ?