... and yes, you have stumbled on one of the many many reasons why the "buy songs online" services suck and I can't for the life of me figure out why anyone would do it.
For starters, all the services have stupid DRM crap built in. Why the heck would you pay for something that's more restrictive to use when you can get the same thing for free with no restrictions?
Then there's services like Napster where if you stop paying (or Napster goes under), you can't listen to your music anymore --- even though you've already paid for it. Then of course you have the services that put stuff into some crappy format so you can't listen to it on your MP3 player or in your car -- you have to play it using their crappy codec..... etc etc etc.
I'd gladly buy the songs if they were made available in (good quality) MP3 or other non-drm format. Until then, I'll just keep getting songs for free.