They know one more way the US gathers intelligence. That method won't work any more, or not nearly as well/reliably as it did.
There won't be many cd players left before long.
Yeah, they will never figure out that the same might happen with USB sticks. Because whenever you learn something you limit it to the concrete object, people cannot generalize.
The Trojan horse story has existed for millennia, yet someone still used CDs.