As-salaamu `alaykum.
Akhi that is very weak reasoning. We don't judge by what people or countries do, we judge by the Qur'aan, the Sunnah and the mutual agreement of the Islamic scholars on an issue. Saudi Arabia or any Muslim country at that, if they allow music then that doesn't necessitate its permissibility in the religion. However, we know that it is haraam as Allaah spoke about it in the Qur'aan in surah Luqmaan (in ayah 13 I believe). The companions and the early scholars of Islaam, none from amongst them disagreed that the ayah was in reference to the impermissibility of music. The only exception to this prohibition is the use of the duff, a one sided drum, permitted to be used by women on waleemah (wedding) festivals. There is also an authentic hadeeth in Sunan Ibn Maajah, in the chapter on trials and fitan, wherein it is stated that those who make music permissible will be turned into apes and swine, or simply destroyed in the Earth (by being swallowd up).
Akhi, that is impossible according to the texts of the Qur'aan and Sunnah. It is said that any sin wherein a punishment has been mentioned for/attached to it, is a major sin. The major sins harm anyone's faith, even though they may not perceive it. And from the above paragraph, you can see inshaa' Allaah that music does have a punishment attached to it, hence the scholars consider it a major sin. Faith in `Arabic is known as Eemaan, and it increases and decreases. It increases with obedience to Allaah, and decreases with trangressions/sins. Saying that your faith hasn't been harmed because of your listening to music is like someone saying that murder, or drinking alcohol hasn't harmed their faith. You may be mixing up faith with yaqeen, or certainty; i.e. your certainty in Laa ilaha ila Allaah Muhammad ar-Rasool Allaah. Allah said in the Qur'aan,
Those (i.e. believers) unto whom the people (hypocrites) said, "Verily, the people (pagans) have gathered against you (a great army), therefore, fear them." But it (only) increased them in Faith, and they said: "Allâh (Alone) is Sufficient for us, and He is the Best Disposer of affairs (for us)."
Aali Imran (3):173
The believers are only those who, when Allâh is mentioned, feel a fear in their hearts and when His Verses (this Qur'ân) are recited unto them, they (i.e. the Verses) increase their Faith; and they put their trust in their Lord (Alone);
Al-Anfal (8):2
I hope this helps.
Was-salaam