Hey, I had the exact same problem with my transferring a new album my friend bought on my Mac, to my iphone... It took me two days to figure it out, but it could be either of 2 things:
1. You don't have the "manually manage music and videos" box checked. If you check it, then try to click and drag it over to your music on your device, it should then sync (on iTunes 11) This was my problem, and I checked that box, and it transferred and downloaded instantly
2. You don't have enough memory space on your device to put the playlist on. This was the problem for a lot of other people, not me, but they said it worked once they cleared some space on their device.
Hopes this helps!
I'm sure if you go to your library and right-click the songs you are trying to get rid of and select "move to trash", that should do it. *Make sure you go to LIBRARY and NOT ON THIS PHONE. It won't delete if you try to delete it while under ON THIS PHONE tab.
I've figured it out!
It is when you've dragged the file say, from your Mac to your iPhone, but you don't have enough memory free on your iPhone for the song to copy accross.
Happened to me when I was copying a whole playlist across, and there were some new songs in it. Don't know if that effects it in anyway... (it might say there's no space if you just individually try to copy a song to music).
It also doesn't seem to work in a way in which iTunes copys the songs in the same order as they are in. For example, if there's only two which won't copy then it doesn't mean it'll be the last two songs in a playlist or album, it could be the third and seventh!
Anyway, I hope this helps and finally solves the mystery of the dotted circle!