If you want to own them, and want to do with them as you please, yes you need to pay for each album or track you want. Why is that so strange? Before subscription services were a thing, this was how people got their music. They actually bought it.
All of the subscription music services work this way. There is no subscription service in the world that will let you copy subscription tracks to an external device where the subscription cannot be verified. Spotify, Pandora, Amazon Music, YouTube Music etc.. they all require validation of the active subscription to play the tracks. Its called copyright protection.
What you want to do is to get 100,000 tracks for $9,99 and then not have any type of limitations. That is simply not possible. That would entirely break the music industry.
It doesn't matter if you own $1,000,000 dollars worth of gear, what you want is not possible in a world were the owners of the music you want to listen to would like to avoid piracy. Yes piracy. Apple must provide ways for the music to not be pirated. It's either this, or simply not have any subscription services at all.
If you are allowed to copy the music to a device that cannot check for the subscription, what is stopping anybody else from downloading said tracks and just pirate them out to anyone for a dollar or 5.
This is the way music subscriptions work. Everywhere. It's a rental. Like subscribing to a Gym. You don't own the Gym equipment, you don't get to take it home. You must go to the Gym, and verify your subscription is active to use the equipment.