Hey there lady, so how are things in the great Volunteer state of Tennessee this morning? I have family there myself, you're getting better weather than I am here, I'm envious. As for your question, well trust me I concur iTunes Plus is crap, what's happening to you is nothing unusual sad to say. Trust me I understand completely what you mean, not only mean but plenty of others.
Yeah iTunes Plus when you look at the songs it downloads them quick enough but it takes forever "processing" them. I get that too and once again many others believe me get that. Why this is so I have no idea, and once again trust me you're not going to get a satisfying answer from Apple/iTunes support so don't bother. If you don't like being condescended to and made to feel like you're either 1:2 years old or 2:Have no idea what you're talking about I wouldn't bother with iTunes support. They'll just pass the buck and tell you that the problem is on your end, and that it's a matter of your anti-virus, your firewall, and your broadband connection which just kills me because I have a very fast connection which a good cable provider that downloaded the drm pre-iTunes Plus music like lightning.
Listen when you download iTunes Plus music you can go to a "downloads" section which I think you're doing anyway and see the music download. It can download 3 songs at a time. This is what I call the downloading "queque" If you quit iTunes for whatever reason it'll ask you if you want to quit or not, and even if you say "yes" it'll finish downloading whatever songs you were in the middle of and when it's done then the program will end. If you have many songs, more than 3 say for instance 10, the next time you re launch iTunes you'll see the rest of your songs still in the downloading queque. Now it's not impossible as you said that you were downloading a song and then it disappeared never to show up again. Happens to me too, in that case there's a support section on the Apple/iTunes website where you can tell them what songs you're missing and ask them to replace it or for a credit/refund which mostly they will oblige.
But don't panic, when you bring up iTunes again as I have already said just check what available downloads you still have and see if indeed everything is really missing and if you can remember what it was exactly. I wish you luck ladyeagle. If you can tell me how you made out. Take care.