Lossless audio files I BOUGHT downloading in .movpkg format

I must be doing something wrong here, because after purchasing albums in the iTunes store, then going into apple music to download into a lossless format, the files are .movpkg format, a format that can only be played through apple, and basically is apple telling me that even though I bought the music, paid full price, that I don't actually own it? This can't be right. Once I pay for the music, it is mine, not apples, and I should be able to play it on alternate devices without apple music's involvement.

In apple music I have gone to: Settings>Playback>Audio Quality and selected "Lossless audio">On. Then I deleted the current audio files I have, went to the iTunes store and downloaded the album again, and this is where I get this funky format.

I'm not streaming this content, I OWN the album! Why can't I listen to lossless files that I've purchased??

Again, I must be doing something wrong.

Please tell me what I can do to download in a lossless format that I can play somewhere other than on apple devices. I pay for Apple Music, and own many albums bought from the iTunes store over the years.