Using your Xen in Sync mode allows you to choose your music and set the stimulation to the beat. You'll not only hear your music but the sound will act as a sensation and match the stimulation to your music.
If you use your Xen in Sensation mode, you won't hear any sounds unless you set music to play in the background. In this case, the music is not acting as a sensation but is still providing the good vibes in the background.
Alternatively, if you use your Xen in Ambient mode, you will hear the sounds of what is going on around you (if you're at a concert, watching TV, or at the movies, for example) and these will act to alter the sensation. Be sure to try them all and pick which suits you the best.