This is happening on my iMac @ home. You know why? I do. When iTunes 11 came out, I installed it on my PC @ work. Then I turned on iTunes Match to see all my music library. I was impressed to be able to see and play my music on this computer while working. 

Back home, I recently tried to download a music song from iCloud because I wanted the song to be on my computer. This is when I got this warning. What a shame. 

iTunes Match prevents us from listening to our music wherever we want. This is the worst iCloud constrain that I discovered. What is this silly rule probably imposed to Apple from the recording music companies?