That's very strange Martin. I followed the same route as you; download from play and then burn to CD, but in my case there was about 5 minutes between the two activities and I didn't have any problems.
Do you have the Recycle Bin set up (if Windows) or some equivalent so that deletions are a two-stage affair? If so, it sounds like enemy action!
When I recently downloaded 'Running In Traffic' from Townsend it came with a product code so that I could go back and perform the download again (max 3 times). From memory, I don't think play offered this for Jori's album
and I don't think John's track was available as a serarate download either