I have several tracks protected by DRM and when those DRM are outdated or not yet downloaded MM cannot play those tracks and they get grayed out or just don't start playing, respectively.
I think that some kind of message about what's happening could help users understand the behavior. Personally I'm used to this stuff, and when I see that a WMA gets grayed out and skips to the next track or doesn't begin playing I know that my DRM are messed up, but I'm sure MM3 could give further support (i.e. saying if my DRM are corrupted or need to be downloaded).
Yet I don't know if this is possible, but it would be really cool.