Possibly the UX for songs downloads has been A/B tested into oblivion. This is one of the downsides of 'data driven design' - any feature that's immensely useful in limited circumstances looks unimportant because it appears to be something users don't go to very often. In this case if 99.9% of users are happy being online the entire time, the 'Download' button won't show up in the data very often, so designers will reduce its prominence more and more. It sucks for times when you need it but really that's a reflection of reality - most people just don't need it.