Ordinarily playing purchased (unprotected) songs doesn't cause there to be any message about authorization. A message that you might need to authorize is correctly associated with pre-2010 purchases when your computer isn't authorized, or incorrectly with corrupted downloads that, for reasons unknown, aren't properly unpacked after download. An assumption is they they might be encrypted in some fashion for delivery to your computer and are supposed to be decrypted on arrival. Do a full power cycle of your router and computer to rule out odd gremlins. Hold down option+cmd as you launch Music to open it in its Safe Mode.
Do you have the Apple Music service in addition to the app? Catalina and later use Music rather than iTunes for music playback, and Finder to manage devices unless you're doing that through the cloud.
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