Purchased, downloaded music is showing up as HLS files

I'm attempting to load some purchased music onto a non-Apple digital audio player.

I've located the music I've purchased in the iTunes store and selected "download" to my Mac.

When I locate that album in my Music Library, the files there are in the HLS format.

I understand the HLS format is for streaming that song via an Apple Music subscription (which I have).

Where/how can I locate the actual AAC file?

Also, is there an easier way to download all purchased music, rather than an album at a time?

FWIW, I've confirmed my Mac is authorised for Music.

Thanks for your help!