I took a really close look at my folders. I discovered 2 things. In some cases, mainly with Dave Matthews Band, I had albums listed in 2 places. Once under Dave Matthews, and once under Zune/Subscription/Dave Matthews Band. The former location did not have DMA- the later did. That is why the songs played under Zune player. So I have some house cleaning to do.
The other issue is that I seem to have a lot of .m4p files that will not play on Zune- or WMP. Not sure what to do here- a Google search said that these were iTunes files- undoubtedly left over from my pre-Zune iPod days. Since iPOd does not have a subscription program, I must have purchased the songs- but apparently they only play on iPods- or iTunes. That sucks.
Anyway, thanks for pointing me in the right direction.