Strangely I've occasionally noticed the same thing. I wondered whether I was too quick to delete the item from the dwnld list. Once I noticed it, I tried to be sure I switched over to iT so I sould be sure it copied over (see the grey coloured thermometer type thingy.) If it's a long tune it'll take longer before iTunes starts up & longer for it to copy it. (As a side note, iTunes does not recognise 'all' formats of mp3. Vorbis Orb is one such one it doesn't which is why I also use Audion to play/convert those files. It also recognises the new mp3 pro format:
http://www.panic.com/audion/)