I believe that "package" refers to the CPU package, i.e. the complete CPU (as opposed to the individual cores.) This would be useful since threads can (and will) shift around from core-to-core. 
Well, that would include PCI Express, DMI and Memory Controller too, since those have been integrated into the Nehalem (Core i) Microarchitecture.
I don't know what player, codec, bitrate, etc. was used for your test,
I’ve tried several different players, codecs and pluseaudio or plain alsa.
but what you posted doesn't really seem abnormal. Using the CPU will indeed keep it awake more.
Yes of course, but apparently the cores themself are not the problem (since their Sleep-States only worsen slightly).
Music playback is actually one of those things that people tend to forget about, but which can be rather bad for power savings. It requires constant CPU activity, and depending on your OS's process scheduler, thread/core scheduling, frequency scaling algorithms, etc. can make for some interesting edge cases.
But but but in WindowsXP it only causes a small increase in power consumption! So there has to be some driver issue somewhere.