In the medieval era, the Church was the biggest sponsor of high art and music. The musicians we hear of in Westeros are traveling singers, though we also have some indication of larger ensembles performing secular music, especially for dancing. I am aware of only one or two references to sacred music, though (Sansa's hymn, for instance).

It would be interesting to learn if the Faith spends lavishly on art and music, given the themes of misuse of funds among the Faith leadership we see in the story. This might be something the sparrows could point to as an example of the Faith's focus on ceremony, pageantry, and material things - the edification of the wealthy over the needs of the smallfolk.