! means iTunes is unable to find the file. O.o
The files need to be properly added to iTunes music folder before they can be transfered to iPod.
Some people get confused with the LW playlist they see in iTunes and think the actual files have been transfered to iTunes. That's not the case, a playlist is simply a document that points the player to where the songs are, in this case the LW download folder.

How to transfer music to my iPod (& iTunes) {click on link}

Also, go to iTunes, Edit menu -> Preferences -> Advanced & see what your iTunes importing location is. Do you have the option clicked to Copy files to iTunes Music folder when adding to Library? It is safest if you have it checked for yes.