"Write protected" here means that the files on your computer can't be modified or updated (determined by settings in Windows) - nothing to do with copyright.
To make your selections appear as one album then one or both of the following need to be true:
- all tracks have the same value for Album and the same value for Album Artist
- all tracks have the same value for Album and the "Album is a compilation ..." flag is checked.
From your screenshot it seems that you have the individual artists' names in the Album Artist field - I'd suggest changing this so that the value is "Various Artists" or similar - the important thing is that this value needs to be the same for all the tracks that you're trying to put into one "album".
If Album / Album Artist / Album is a compilation ... appear to be set correctly but tracks still won't group as expected:
- select all songs that should be part of one album
- right-click > Get Info, append a "dummy character" to the Album value (e.g., change "Josh Turner Radio" to "Josh Turner RadioX")
- click OK - tracks should now group correctly
- repeat the edit to remove the dummy character - grouping should be preserved.
I'm not sure, though, why you're using the approach - creating a playlist is much easier and more flexible, as well as leaving the original metadata and grouping into albums unchanged,