Server script isn't operating certain functions with Filtering Enabled?

Alight, so I've worked with this and I came to see that you can just make the GUI locally using a RemoteEvent, and that basically fixes it.

SeverScript:

-- The RemoteEvent is in Lighting and named 'MakeGui'
game.Players.PlayerAdded:connect(function(player)
local Lighting = game:GetService("Lighting") -- Gets the lighting service
lighting.MakeGui:FireClient(player) -- Fires the client function from the server!
end)

LocalScript:

local plr = game.Players.LocalPlayer

game.Lighting.MakeGui.OnClientEvent:connect(function() -- Connects the RemoteEvent to fire the below code when called.

-- Everything below here is basically what you already had.
    local gui = Instance.new("ScreenGui")
    local frame = Instance.new("Frame")
    local nobutton = Instance.new("TextButton")
    local yesbutton = Instance.new("TextButton")
    local watermark = Instance.new("TextLabel")
    local warning = Instance.new("TextLabel")
    --
    gui.Name = "Emergency Music Clear"
    gui.Parent = plr:WaitForChild("PlayerGui")
    --
    frame.BorderColor3 = Color3.fromRGB(255,0,0)
    frame.BorderSizePixel = 5
    frame.BackgroundColor3 = Color3.fromRGB(0,0,0)
    frame.BackgroundTransparency = 0.5
    frame.Position = UDim2.new(0.5,-125,0.5,-50)
    frame.Size = UDim2.new(0,250,0,100)
    frame.Parent = gui
    --VVButton TWO
    nobutton.Name = "Cancel"
    nobutton.BackgroundColor3 = Color3.fromRGB(255,90,90)
    nobutton.BorderColor3 = Color3.fromRGB(255,0,0)
    nobutton.BorderSizePixel = 4
    nobutton.Position = UDim2.new(0.7,-25,0.8,-12)
    nobutton.Size = UDim2.new(0,50,0,25)
    nobutton.FontSize = Enum.FontSize.Size14
    nobutton.Text = "Cancel"
    nobutton.TextStrokeTransparency = 1
    nobutton.Font = Enum.Font.SourceSansBold
    nobutton.Parent = frame
    nobutton.TextColor3 = Color3.fromRGB(0,0,0)
    --VVButton ONE
    yesbutton.Name = "Confirm"
    yesbutton.BackgroundColor3 = Color3.fromRGB(44,88,0)
    yesbutton.BorderColor3 = Color3.fromRGB(27,42,53)
    yesbutton.BorderSizePixel = 0
    yesbutton.Position = UDim2.new(0.3,-25,0.8,-12)
    yesbutton.Size = UDim2.new(0,50,0,25)
    yesbutton.FontSize = Enum.FontSize.Size14
    yesbutton.Text = "Confirm"
    yesbutton.TextStrokeTransparency = 1
    yesbutton.Font = Enum.Font.SourceSansBold
    yesbutton.Parent = frame
    yesbutton.TextColor3 = Color3.fromRGB(0,0,0)
    --
    watermark.Name = "Watermark"
    watermark.BackgroundTransparency = 1
    watermark.Position = UDim2.new(0.1,0,-0.15,0)
    watermark.Size = UDim2.new(0,200,0,50)
    watermark.Font = Enum.Font.SciFi
    watermark.FontSize = Enum.FontSize.Size18
    watermark.Text = "TroiTech"
    watermark.TextColor3 = Color3.fromRGB(189,255,253)
    watermark.Parent = frame
    --
    warning.Name = "Warning"
    warning.BackgroundTransparency = 1
    warning.Position = UDim2.new(0.1,0,0.1,0)
    warning.Size = UDim2.new(0,200,0,50)
    warning.Font = Enum.Font.SourceSansItalic
    warning.FontSize = Enum.FontSize.Size24
    warning.Text = "Remove global sounds?"
    warning.TextColor3 = Color3.fromRGB(255,255,255)
    warning.Parent = frame
    warning.TextWrapped = true

    nobutton.MouseButton1Down:connect(function()
    print("Decline")
        gui:Remove()
    end)

    yesbutton.MouseButton1Down:connect(function()
    print("Accept")
    for _,v in pairs(game:GetService("Workspace"):GetChildren()) do
        if v:IsA("Sound") then
            v:Remove()
        end
    end
    gui:Destroy()
    end)
end)

Hope this helped! :D