I am trying to get my local files from my desktop to my iPhone. These are songs that I have bought on iTunes and can play on a Spotify playlist on my desktop, but when I try to sync them to my iPhone, I get the popup "Song Not Downloaded" and instructions to get the song on mobile.

I have followed these instructions (have been on the same WiFi, etc.), and can get the playlist on my phone that shows the album covers and number of songs in the playlist, but when I tap the playlist, it is empty even if it says it is downloaded. 

I have tried a few options: turning off firewall, connection my phone and computer by usb, but the problem persists. Is there any known solution to this problem? Or am I playing for a premium feature that does not work?