The most common and most likely answer to this crossword clue is the 5 letter word SEGUE
I've seen this crossword clue in Financial Times
S
E
G
U
E
More clues leading to the result SEGUE
- Musical term from southeast, good, usable — extremely
- Not all of these guests proceed without a break
- Proceed directly, as in court
- Keep going, say, when hugged by girl
- Girl entertains, say, with this musical link
- House guest in transit the other way round
- Proceed immediately enveloped in loose guernsey
- Some surprise guests follow without pause
- Follow on, say, caught by appeal
- Follow on, follow around man endlessly
Buddy explains!

The straight part
We know that "musical link" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case musical link = segue.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.
What does SEGUE mean?
SEGUE noun- An instance of segueing, a transition.
- To move smoothly from one state or subject to another.
- To make a smooth transition from one theme to another.
- (of a disk jockey) To play a sequence of records with no talk between them.