Though they don't explicitly notify you, they keep the song on your playlist, they just gray it out. That way you can know when it's been removed, but unfortunately it's still inconvenient.
I run Spotify premium like I mentioned in the original post. This means that all songs I add to my libraries are automatically downloaded. Whenever my internet is down or my phone is away from WIFI I can continue listening to my music in the same way that you do, which is why I have no reason to use CDs for offline music
I honestly prefer Spotify. The reality is that I have 1014 songs on my playlist at the time of writing, and it sets me back the equivalent of about $5 PM (Converted from ZAR), and I get to be picky about what I listen to frequently. In an album from someone, odds are that I might like 2 of the songs at most, so buying a CD for only 2 songs is a pointless activity for me.
This means that to collect 1000 songs that I like on CD I'll have to buy 500 CDS total. That's a lot of money.
I also enjoy being able to mix up my music and not having to swap out discs when I get tired of an artist. I understand privacy is an issue for some, but I don't really care if Spotify collects the data of who I listen to, it only improves their algorithm and makes my music discoveries easier.
The reality is that you're always connected to the internet, and even if you listen to CDs on your computer the media player is still collecting your data and behaviour.