I have the exact same problem! I’m downloading AudioBooks from a Library using OverDrive Media Console V3.2.2.0 and when I transfer the parts to my Iphone 4 with iOS6.0.1 in iTunes some of the parts show the dotted circle and cannot be played.
It looks like if the DRM was not transferred correctly.
I have Windows Media Player v 12.0.7601.17514 and Windows Media Player DRM v 2.9.0.1
I tried deleting the buggy parts and downloading them again, both from the library and to my iPhone and it is the same no matter what I tried.
I have 1 Audio book where only 1 out 10 parts is like this but you might as well not having at all.
It happened on 2 different AudioBooks.
To be honest these DRM are just a real pain.
Anyone has a suggestion?