Not sure what Tony is talking about, but the crossfade does indeed work. Likely what you are seeing is that the player is crossfading the silence at the beginning and ends of some tracks. When skipping songs it seems to work better because there is audible sound in the middle.

Try setting the crossfade value to 5 seconds and see how it goes. I like having that much crossfade myself.

IIRC, one of the old Winamp cossfades and possibly the built in one these days had some smarts that looked for silence at the beginning and end of tracks and crossfaded the preset time plus the silence resulting in a true no gap output.