I have the same issue. It's a major bug. The songs appear as untitled song files in your download folder, which means you have the create sub folders, album folders, and then move them to your iTunes folder. Very bad. I don't have time to deal with Apple's obvious screwups. I'm super upset, because the whole experience just doesn't seem intuitive. Apple is having major problems with their software updates. I still hate that I cannot download an individual song on my iPhone.
The download.m4a files do not appear to have any ID3 information stored in them, and I suspect this may be the issue with importing them into iTunes. Importing the file just results in a track titled "download" that has no associated metadata.
For some reason iTunes isn't getting the signal to stamp the files with the ID3 information (it seems the information is sent by the server and stamped locally by the application, which includes the purchaser metadata). Presumptively, it then is supposed to import the now-stamped m4a file into iTunes and deleted the tmp directory.
Partial work-around: for those of you with iTunes Match, updating your library from Store:Update iTunes Match seems to allow you to (attempt to) redownload the files - I seem to have success purchasing-and-actually-importing tracks about 50% of the time. It's quite frustrating to have to do this every time you purchase something, however... And of course, this leaves non-Matchers without a solution.