In looking into this, you can only stream sound from an external server if you own the land and the object that's playing it.
When you play something using llSetParcelMusicURL all it does is connect the user's client to the server. That's it. There's no additional load on Linden's servers.
My question and/or concern about this is why? I can understand that you don't want people to be able to grief other players by blasting music or other sounds in public places. However, I don't believe this is a sufficient reason to forbid this access.
An object should be able to have a script that gets agent permission to load a stream, and then will go out and load the sound from the remote server. Additionally, to address the concern I raised above, this can be limited to *only* stream to the agent who grants permission. This wouldn't be of any use for night clubs and events where you're doing public broadcast, however it would open up a nice resource for people who want to make portable music players for avatars who are in other places in SL that don't have music.