I disagree. It is actually a very rare for me to not find a band on Spotify, and my listening is mostly focused on esoteric or small bands in a variety of niche genres.
Rhapsody has many (though not all) of the collected volumes, dozens I'd say. Spotify has one 1970s album of theirs.
Also noticed a standup comedian on Rhapsody, Ralph Harris... his album Hickey Head is there. Nothing on Spotify except a single track on someone else's album.
I find about one or so artist per week that's not on Spotify.
For contemporary stuff of that level of nicheness, Bandcamp is a much better source. And selling one $5 download/print-on-demand CD is probably more lucrative than all the Spotify streams most bandcamp bands could ever hope to get put together, so it's hardly surprising that they go this way. Spotify seems a more sensible partnership for labels with significant back catalogue than individual artists. (Which makes it peculiar that I can't browse by label, but there you go.)
I like Spotify for classical music and jazz, but my tastes are more 'mainstream' in those categories. It also has a surprisingly good collection of house/techno/etc singles, but I kind of need the files for those for DJing purposes and such.