Where's my downloaded music?

Over the past decade I've purchased enough music to be upset that I keep running into this message "The following song could not be played, would you like to download it?"

No, I bought it, it should; be on my machine, and my iPhone, period.

Can anyone help me?

The most I've tried is signing out and in. Even clicking on the could icon in the title bar, it doesn't show all "supposedly cloud music" sorted at top. I don't use the iCloud either.

Can someone help me figure this out?

Thanks.

Sergio