This song is not currently available in your country or region

Unfortunately that's where this comes into play:

http://www.apple.com/legal/internet-services/itunes/us/terms.html - "It is your responsibility not to lose, destroy, or damage Content once downloaded. We encourage you to back up your Content regularly." ... "Content may not be available for Redownload if that Content is no longer offered on our Services." And: https://support.apple.com/ht204930 - "Apple Music isn't a back up service. Make sure to back up your iPhone, iPad, iPod touch, Mac, or PC, so that you have a copy of your music and other information if your device is ever replaced, lost, or damaged."

Re-downloading is a convenience feature but you really have to make sure you always have your purchases on a local drive should the item no longer be available in the store. If all you have is an iCloud marker in your library then it is relying upon a copy still being in the store for when you want to listen to it and as you are finding, that may not always be the case.

With Apple going to using iCloud to save people on-device storage space, many things aren't really "on" a device. You see a bookmark and when you need the item it is fetched from iCloud. "iCloud" itself is nebulous and has many parts. For most people music is using Apple Music services to provide the content and what is present on Apple Music is at the whim of the media owners. So if you have Apple Music and a large library, and particularly if you set your device to optimize storage, most of it isn't on your device, you're just seeing a bunch of bookmarks. If your favorite tune is one of those but in the meantime the media owners have withdrawn it (or maybe even just re-issued it so it is not the "same item?), you'll get that message when you try to play it.

Great!