I believe that when the AM/FM is selected, the audio input from the CD changer is also active. You just never hear the CD because it isn't playing one when AM/FM is selected. Since the AUX-in simply piggybacks onto the CD input to the amplifier, you will hear your AUX device while listening to AM/FM. The CD input to the amplifier isn't muted on AM/FM.
You will also hear your AUX device while playing a CD, again because the AUX-in simply piggybacks onto the same CD input.
Since the CD input to the amplifier is temporarily muted while the unit first reads a disc, it is possible it is not correctly reading the silent CD and is hunting around trying to find a track. While this hunting goes on, the CD (and AUX input) will be muted.