What you are experiencing is probably a difference between MTP and MSC mode.
When the device is in MSC mode, the music player enumerates as two removable drives, One representing the internal memory, the other representing the SD Card.
When the device is in MTP mode, it looks as a single device with two folders. One called Internal Memory and one called External Memory.
Although the player can see all media regardless of what mode it was added in, You computer, however can only view the files that were entered in the mode that the player was in.
Thus, any files that were in MTP mode won’t be seen on through the computer when the device is in MSC mode and vice versa.
It’s most likely your Rhapsody files were entered in MTP mode. These files are stored in the Internal Memory/Music folder. In the Music folder there are folders for each artist and the files are probably in there either by album. I’m not sure.
You can delete the files directly using windows explorer, however, since Rhapsody subscription tracks also adds metadata such as artist information for each artist, it’s better to remove the tracks using Rhapsody so that all the .txt files regarding the band is also removed.