The music for which we heard last night at the concert was exceptional

Yes, in this case, we tried to make it a bit tricky.

It says "to which we listened" and then we threw in "at the concert"
In reality, the "to" refers to "listened" and "at" does not.

Makes sense or not really?

"Listen to the music" is correct

aslnlot is correct--we need the word "to." You can listen to music, but you cannot listen music. "Listen" is an intransitive verb. Other examples of intransitive verbs (verbs without objects):

I ran all day.
I ran to the park. (Followed by a prepositional modifier, but not an object)
I paid attention.
I paid attention to my mother.

Transitive verbs:
I see the statue.
I want a bicycle.

So if I see something, that's transitive, and I don't need a modifier to express it. (I see the statue.) If I look at something, that's intransitive, and it is followed by a prepositional modifier rather than an object. (I look at the statue.) The exact same thing applies to hear vs. listen:

I hear the music.
I listen to the music.

I hope that helps!

I should add that the awkwardness you're feeling about (B) stems from the fact that in this case, the music is the subject of the sentence. If we were the subject, it would be simpler: "We listened to exceptionally good music at the concert last night." With "music" as the subject, we end up with "to which we listened," which is not a common usage in spoken English. A casual speaker of English would be more likely to say "The music we listened to was . . ." That's what I'd say myself.

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