You don't let somebody screw with your livelihood would taking action against it. This is why I advocate using every countermeasure humanly possible to avoid blocking and/or detection.
However, you can fool the boss by hiding where you are going with an anonymity service, or an open proxy. They would know you went to a certain address, but would not know where you went BEYOND that address.
I dont see anything unethical about wanting to grow your business. Internet radio is how I make my LIVING. And you dont let some filtering program mess with that, without a fight. If you, as network admins, don't like it, tough, this is how I make my living, and will use and advocate the use of every possible countermeasure out there.
As long as you are doing your work, there is no reason not to allow Internet radio in the workplace, and nothing unethical about listening to it, regardless of what company policy may say one way or the other.
It can be spotted, yes, but they do not know where you are going BEYOND that proxy or anonymity service.