When we buy a song from the Xbox Music store we expect our content to be available locally on all of our devices. While this is not the default behavior, you can certainly change that.
Automatically Download New Songs When Your Purchase Them on Another Device
Press the Windows Key to switch over to the Start Screen, then launch the Modern Music app.
Now press the Win + C keyboard combination to bring up the Charms Bar and click on the Settings Charm.
Here you will need to head into Preferences.
Here you will see an option to enable downloading content that was purchased on another device.
That’s all there is too it.