Just clearing this up for whoever else Google’s this issue after having problems. If there is no Music folder in C:\Documents\Guild Wars 2 – You can create your own and copy your Playlists into there. However, copying the playlist files across from the drive they were created on creates problems. If you open a playlist file with Notepad, you’ll see the “media src” starts with "..\ – Change this to the drive letter your music folder is on, lets say D. Lets also say that the music folder on this drive is called music.
Change the “..\” at the start to D:\Music\Rest of file link continues here as normal. It should work fine then!