Finally I got it resolved. At hindsight, the above feels a bit like a newb...
The root cause is how Manjaro Xfce is set up out of the box. I‘m NOT saying it should be different! It works marvelously, but it brings along the peculiarities of the software chosen by the Manjaro devs.
In short: Xfce Power Management is set up fine and works fine. As installed by the 18.0.4 ISO, it uses light-locker to lock the screen whenever required. By default, screen blanking is such an event, as well as the other screen power events.
light-locker by design (feature or bug?) takes the audio down! This is not well documented, but it has been the source of lots of discussions. E.g. cf. https://xubuntu.org/news/screen-locking-in-xubuntu-14-04/.
Thus, the workaround for my use case - listening to music on headphones in a quiet dark room and not accepting to have the laptop screen disturb me - is to switch off screen locking by light-locker in the Xfce Power Manager. This workaround is not so nice for other use cases like using the computer as a jukebox for a party, where you want the screen to be dark, but you also want the computer locked to prevent other guests messing with it.
@Mr_Glitch, thanks for coming in ever so often.
I edit the thread title to also mention light-locker.