iTunes song purchase and Apple Music addition

Why are there download issues when you decide to purchase a song you previously added to you Apple Music account?

I am looking to purchase some songs in iTunes so I can burn a disc to listen in my car, but when I try to burn my playlist on CD, it says that I can not burn a song because I downloaded it as Apple Music even though I have purchased it through iTunes as well.

Is there a way to change this setting in iTunes so I can download and 'burn-to-disc' my purchase?

Please help.