iCloud question? Transferring music

Trying to understand why this happens,

when I download(buy) a song from iTunes either on my ipads or iphone the purchase always shows up all devices but not on my main computer (currently pc windows 7) but if I download the song first when in iTunes on my home computer it WILL download on all my idevices

Checked over all settings please let me know if I'm doing something wrong?
tia

thank you! i went through the settings but couldn't find that option

very appreciated