Michelle, prepositions are weird and wonderful words. They often have more than one meaning, and can be used quite differently in English and French. 

‘… danser sur de la musique…. ‘ is correct. The English translation is given in the exercise if you click on the phrase - ‘ … (to) dance to music …’

See example for definition 3 for ‘danser’ in Larousse link -  ‘ mouvoir le corps en cadence ‘ :

 https://www.larousse.fr/dictionnaires/francais/danser/21621#locution  

and wordreference link for various translations of ‘sur’ :

 https://www.wordreference.com/fren/sur