Thanks Cryowatt
It took me a couple of days to find it out why the MP3 player was not playing, and I've discovered it by accident by diconnecting and reconnecting the shield while the Netduino was on. (It started playing)
The fix is rather simple (once you know it), I've just added this line right before the Hardware Reset of the MP3 Player and now it plays beautifully.
new OutputPort(Pins.GPIO_PIN_D4, false);