Although I am not sure if WMP 9 for OS X has the feature you are describing, I think it would be best to assume that features in the XP version do NOT appear in the OS X version.
WMP 9 for Mac is not the same thing as its Windows counterpart. iTunes for Mac, and iTunes for Windows-those are the same thing. WMP 9 for OS X is basically meant to play WMP 9 content. Don't expect it to do much else.
Use QT. And click on the ">>" button. It will allow you to listen at 2X. Plus if you have a 'Book and have the trackpad to lock when dragging, you can cust click and drag a little over the button release, and it will continue to play at 2X.