In this film Albert Hitchcock uses sound strategically to give a feeling. As many people who know about film, they might know that Albert Hitchcock has been nickname or crowned "The Master of Suspense". In many of his movies he does not have background music or at least not throughout the whole movie. In "The 39 Steps" he does the same thing, only having background music or anything else that's happening in the scene. This is at sometimes will overwhelm you with the volume he does include, such as the crowds blasting your ears or getting you curious and excited while your wondering what's going to happen. But Hitchcock's most signature sound technique is often just silence. The microphone will still be on, but it will be silent. In this movie and Hitchcock's other movies, that technique makes an awkward silence which tends to add suspense to different moments in the film. By adding suspense in sound it really contributes to the feelings into the screen.
There is one point in the movie where there is sound that isn't built into the scene. It's where the agents or police are chasing after the protagonist in the valley and hills. The reason I think Hitchcock did this is because if he didn't have sound in that seen where there is less suspense, but more action and suspense releasing scene, it would just not have the right feel. It wouldn't be suspenseful even though it is not supposed to be a suspense based seen. It would just seem awkward and not the good kind of "edge of your seat" awkward it would just not match the rest of the movie or the feel of the scene. The music does let everything rush free. I and apparently Hitchcock could not find a better way to show that scene in audio since it would not feel right silent. I think that what Hitchcock did with putting background music in this scene was the only option he had and it ended up working, so it was necessary to break one of his signature artistic choices and it ended up being a very nice movie (My opinion.) which was a pleasure to listen to and watch