There are two main questions asked about our emotional responses to pure music. The first is analogous to the ‘paradox of fiction’. It is not clear why we should respond emotionally to expressive music when we know that no one is undergoing the emotions expressed. The second is a variant of the ‘paradox of tragedy’. If some music arouses ‘negative’ emotional responses in us, such as sadness, why do we seek out the experience of such music?
The second question is one I've thought about quite a bit myself, since I in fact have a taste for sad music, and the sadder the more I enjoy it. This sort of song, written by Beth Neilson Chapman after her husband died from cancer, I can listen to over and over again:
(The woman singing, Allison Delgrosso, has a number of really excellent covers on YouTube. [Not all of them are sad songs!]) Music is rarely so exquisite as when it makes you ache. But that sets up the paradox: that anyone can have a taste for negative emotional responses.
The analogue to the paradox of fiction seems a bit looser, but we do respond emotionally to music as sad, or as triumphant, or the like, even when we know that there is no one actually expressing sorrow and triumph in performing it. We can respond to it even when we know it is wholly cynical in motivation; one of the good parts of the movie Wag the Dog played on precisely this point. Everyone watching the movie knows that the whole point of the song is to manipulate people; but it's easy to lose sight of that in the middle of the song precisely because it is done so expressively:
All the responses to the paradox of fiction and paradox of tragedy have at least rough analogues here, so the analogies seem fairly good. These analogies strongly suggest that these paradoxes are actually just particular cases of a more general set of paradoxes about human emotional response under artificial conditions.