From the 2019 HARLEY-DAVIDSON® OWNER'S MANUAL: BOOM!™ BOX GTS:
For mass storage devices (such as USB drives), the file organization on the device can impact performance. For best performance and indexing of files, store media files at the root directory of the USB device, rather than in multiple levels of folders.
Table 1. Media Device Support
DEVICE
USB mass storage device
DEVICES SUPPORTED CONNECTIONS
USB drive (exFAT, FAT32, NTFS, HFS+) or SD card
Direct connection to USB port. USB connector and reader required for SD card.
FILES SUPPORTED
MP3, MP4, MPEG-4 AAC, M4A, M4B, WAV, WMA
FEATURES OR LIMITATIONS
May support find features. NTFS-formatted drives can only be used for read-only functions (such as playing media). NTFS drives will not support functions like ride/trail exports or navigation database updates.
A playlist is a file stored on the device which includes a sequential list of songs. ... The radio also supports the following playlist types for other USB-connected devices.
- Windows Media Player Advanced Stream Redirector format (*.asx)
- Windows Media Player Playlist (*.wpl)
- M3U Moving Pictures Expert Group Audio Layer 3 Uniform Resource Locator (*.m3u)
- PLS file (*.pls)
- iTunes XML (*.xml )
- RealPlayer Metadata Package (*.rmp)
NOTE
- M3U, PLS and WPL playlists only allow relative pathnames to files. Absolute pathnames are not supported.
- All XML files on USB mass storage media will be displayed, even if the files are not actually XML-formatted playlists.
1. Navigate: Home > Audio.
2. Select: Media filters.
3. Select: Playlist.
4. Select item from list.
5. Select song from the playlist. To play the entire playlist, select the first song.
It sounds like you have to arrange your songs in one of the playlist formats from above.
One more thing from the manual upon first connecting the device: "The radio will begin collecting file information from the device. Some information and features may not be available until the radio has finished synchronizing with the device. The radio will play remaining files in alphabetical order." 4GB of data may take a while to sync.