For me personally, I refrain from doing so as I find that music makes it harder to remember the lesson material and concentrate on the task at hand. Conversely, I do listen to music before each session while doing warm ups or while drawing during the 50% rule.

I listen to music during exercises (not reading the lessons) because it actually helps me focus on what I am doing with my eyes and arms. Without the music my brain starts to wander and I lose concentration. I am an adult (56) with ADD and it is very, very easy for my brain to drift off and think about something else than what my body is doing. Music playing takes away one more unpredictable sensory stimulus, otherwise the random sounds from other people, outside, the dog, or whatever would constantly trip me up.

I think you should read/watch the material without music, but if it's the exercises, I think that's perfectly fine. The exercises are there for your body to learn the lesson content mechanically, by doing, so it's ok if your mind isn't 100% focused on the exercise. Personally I'd find that incredibly draining: to concentrate on a repetitive task for an extended period of time. Music helps me get through it easier, and I don't find it's impacting my learning. Really it's up to you; if you find music helps you focus, I'd say use it, otherwise if you find it distracting, then don't. There's no concrete rule that says you can't, though.