Greetings, saga1x!
Thanks for reaching out to the Apple Support Communities! It sounds like you're having an issue with one song needing to be authorized when you try to play it. If this is happening on a Mac computer, you'll need to check out this article to Authorize or deauthorize your computer for iTunes Store purchases. Since the issue is with one specific song, the issue might be that the song was purchased with a different Apple ID. To check, let's Control-Click on the song and select the option to Get Info. If it was purchased with a different ID, try deleting the song and purchasing the song again with your current Apple ID.
If this is happening on a Windows computer, you should check out this article If iTunes for Windows prompts you to authorize your computer when you try to play purchases. This article will give you steps you can take for issues with getting authorization messages on your PC.
Let us know the result sand have a great day!