Amazon, along with lot of other online media providers, are helping to prevent Internet Overload during the Covid-19 Pandemic by reducing their Bandwidth Usage which will inevitably mean that downloads may take longer than normal.
Regardless of that fact part of the changes Amazon made ahead of the introduction of it's HD Music Service was to make Offline Listening available/possible on more devices, including PCs, with a very significant difference between where it downloads music that has been purchased and music that has not been purchased.
Music that has been purchased, as in the past, gets downloaded to the Amazon Music Folder in a format that MC will recognize and Import.
However music that has not been purchased, probably to prevent miscreants obtaining tracks they have not paid for, gets downloaded to a "hidden folder" in a proprietary format that only the Amazon Music Player recognizes and can play.