Hello alexandreak,
It sounds like your newly purchased music is not syncing your your iPhone. I found a couple of resources that I think might help with this.
One thing you may want to consider is downloading the purchased songs directly to your iPhone. You can find the steps to do that in the section titled "iPhone, iPad, or iPod touch" in the following article:
Downloading past purchases from the App Store, iBookstore, and iTunes Store
http://support.apple.com/kb/HT2519
If you prefer to sync the music to your iPhone using iTunes, I recommend turning off and turning on syncing music. You can do this by unchecking "Sync Music" and then clicking "Apply" and then checking "Sync Music" and then clicking "Apply" again. You can find the syncing steps in the following article:
iTunes 11 for Windows: Set up syncing for iPod, iPhone, or iPad
http://support.apple.com/kb/PH12313
Additionally, it is important to note that songs with a cloud icon next to them in iTunes are streaming from iTunes and are not on your computer. For these songs to sync to your device, you will need to clck on the cloud icon to download the song to your computer first.
Thank you for using Apple Support Communities.
Best,
Sheila M.