Hmm ... check they aren't the same. iTunes will not allow you to copy to the music library files that have the identical characteristics such as size, name, id3 tag, etc. that are already in the library. Check to see the songs aren't already in there. Check it by band or song alphabetically. I also like to check what songs have been added by arranging by date added in iTunes. Go to edit>view options & enable this. click or double-click top of that column heading to arrange them thus.

As far as share immediately completed downloads, that option is at the bottom of the Sharing options window in LW. But that is really only important if you want the songs to be in the LW playlist in iTunes. To add them to iTunes properly, select saved files folder in library window, press Explore button so the folder opens, then select songs & drag & drop onto library icon in iTunes.

Tell me if I'm not understanding your problem or my suggestions don't fix it.