Once you download a pre-ordered song that became available before the release date, it is translated into a purchase for that song.
If you cancel the preorder, you will then have purchased a song, which normally cannot be purchased yet as it's for a preorder.
If you then order a different preorder album that also contains the song that you already purchased through above method, it will show up as downloaded as you described, but it's associated with a different album which you have not bought (cancelled preorder).
The dilemma is then, that you already payed for the song and have access to it, through another album. But you really want the song to become part of the new (preordered) album to make things tidy and clean. One solution to the dilemma is to grandfather the song payment into the new album, another is to let the customer pay again for the same song and have it twice (for each album) in their library.
I am in the same situation and would like to have either of my two mentioned solutions applied...