It has the built-in sets of AM, FM, SiriusXM, doesn't have a built-in that works for USB music that I've seen.
Needing to click the audio wagon setting is due to the lack of persistence, that it is ignoring the "Always open AudioWagon..." checkbox to allow it to have continued access/control for USB (music).
Google has the software to allow third party apps to access the USB, with proper persistence, called car-usb-handler. It's on the car makers to actually use it, integrate it properly, in their infotainment systems.
The AudioWagon FAQ I pointed to details this. It took Volvo/Polestar multiple years to get around to adding it, works fine now. GM has the same issue with their '25 Chevy Equinox EV.
For Lincoln we have the '24+ Nautilus - need to log complaints via Concierge or similar, tell them what is wrong and what needs to be done (implement the Google-supplied car-usb-handler software, test that it is properly working by adding AudioWagon from Play Store, see if retains access to the USB across multiple audio system restarts).
(It may well be a problem in the '25 Navigator too, since that now has AAOS. If so, Navigator owners should also log complaints via Concierge.)