Are you sure the files are .mp3, .wma, .aa., .flac or .ogg? It’s not going to read .aac or mp4 from the iTunes store.
Indexing problems can also be caused by ID3 tags, the electronic labels in your files. The Fuze is (too) picky about them: It likes ID3v2.3 ISO-8859-1.
You can fix tags fast with the free mp3tag from http://www.mp3tag.de/en/ .
Install mp3tag. When you install, let it add itself to context menus (an option while installing).
Open mp3tag and in Tools/Options/Tags/Mpeg make the Write option ID3v2.3 ISO-8859-1.
Right-click an album folder before you send it over, and highlight all the files. I suggest under Tools you use the Auto-Numbering Wizard with Leading Zeroes, which will number the files from top to bottom (make sure they are in the right order) as 01, 02, 03 rather than 1/12, 2/12, etc., as some ripping programs (hello iTunes) do. With track numbers like that, the Fuze will play 1, 11, 12, 2, 3, 4, etc. because it reads the first digit.
Run the wizard, or just Save the highlighted files if for some reason you don’t want to fix the track numbers, and since you have set the default they will be ID3v2.3 ISO-8859-1. No more tag troubles.