I'm on ios 9.2, but this has been a problem for me ever since the 8.4 update. In fact there was a thread about it back then where others reported the same issue, but the only solution seemed to be to delete all songs that aren't stored on the device manually. Anyway, as the title suggests, I have "Only Downloaded Music" turned on, but the music app still shows and plays music I've purchased through iTunes in the past. I've found that I can temporally solve this by killing the Music app, but, eventually, all those songs will once again reappear in my library (though greyed out and without the checkbox next to them). Anybody else have this issue? Is there anyway to solve it?