You have to use professional burning programs to do what you want.
Roxio, Nero and other mainstream programs can't do that.

Feurio is almost free and supports what you're looking for.
Check if your drive is supported:
http://www.feurio.com/English/cd_writer.shtml

You only have to choose "Do not insert pauses between tracks -round track
markers" in the Settings of the project.
The "Minimal pauses" options is what Roxio does.


Is it something to do with the way the files (MP3 or WAV) are saved?

Yes, the size of the WAV files should be a multiple of a CD-DA sector (588
samples).
CD-Wave can break the track in the sector boundaries, but the
non-destructive Track Editor in Feurio is more comfortable.