The document says that I need to call AudioEngine.Update() per every frame.

However, sometimes AudioEngine.Update() falls into sleep(?) so it makes my game frozen. :|

I checked this situation under debug mode and the program stopped at this line:
     audioEngine.Update();

and Call Stack Window showed this message:
     [In a sleep, wait, or join]

I have no idea what happend inside AudioEngine.Update().

The funny thing is my game works fine without calling this function.

What should I do?

The docs are correct: you should definitely call AudioEngine.Update regularly.

If this is hanging, that's a sign of something going wrong somewhere else that needs to be investigated.

Does the hang occur on other machines, or only on your one computer?

If you can put together a repro app that demonstrates this hang, then post it either somewhere you can link to here, or on the Connect site along with a bug report, that would be great.