We don't own what we hear on radio. Anyone old enough to have owned a vinyl record, 8-track, or cassette knows we "owned" those until the player "pwned" us and scratched the record, warped the record, or otherwise ate the tape.
The CDs I "own" mostly mark me as ... old with 1980s musical tastes.
I'm actually pretty happy with combination of Rhapsody and Google Music, though there are definitely some albums I wish Rhapsody would get (The Beatles, and, ... Soundtrack to American Werewolf in London, and, ...).
But actually Rhapsody, Google Music, and Squeezebox Server have made me purchase a lot more music than I have for a long time.
Of course, the music I purchase tends to be used CDs from Amazon for pennies plus shipping.
I would in fact like the Zune Pass model.
Simply put: the way we consume music is fundamentally different to the way we consume movies and TV.
This used to be true, but I am not sure it is any longer - at least not for everyone. Listening to the same album obsessively over and over again is certainly a phase I went when I was younger, but now I am perfectly happy to listen to Pandora, especially as my tastes have broadened, and finding new interesting stuff to listen to trumps the need to hear the same familiar stuff over and over.
And the songs you listen to now may one day be "classics" that you want to listen to again. Given the volume and diversity of present day music, that might only be possible if you have an MP3 stashed away somewhere.