“If these services are officially allowed to download MP3s to your desktop, is there anything illegal in then keeping the files?”
Umm… yes? The file is downloaded to your drive for a specific purpose (streaming it to your PC). You’re not licensed to do anything else with it, including keeping it for another purpose (like sticking it on your iPod).
This is another example of the “I can do it so it’s OK to do it” attitude that I complained about in my post on MuxTape.
Code isn’t law, people.